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Applied Economics Volume 42, 2010 - Issue 10
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Original Articles

A nonparametric approach for estimating betas: the smoothed rolling estimator

María Victoria Esteban Departamento de Econometría y Estadística, Universidad del País Vasco, Avenida Lehendakari Agirre, 83, 48015 Bilbao, SpainCorrespondence[email protected]
&
Susan Orbe-Mandaluniz Departamento de Econometría y Estadística, Universidad del País Vasco, Avenida Lehendakari Agirre, 83, 48015 Bilbao, Spain
Pages 1269-1279 | Published online: 12 Nov 2008

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Read on this site (1)

M. V. Esteban, E. Ferreira & S. Orbe-Mandaluniz. (2015) Nonparametric methods for estimating and testing for constant betas in asset pricing models. Applied Economics 47:25, pages 2577-2607.
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Articles from other publishers (4)

Alessandra Insana. (2022) Does systematic risk change when markets close? An analysis using stocks’ beta. Economic Modelling 109, pages 105782.
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Mehmet Balcilar, Riza Demirer & Festus V. Bekun. (2021) Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold. Mathematics 9:8, pages 915.
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Gagari Chakrabarti & Ria Das. (2021) Time-varying beta, market volatility and stress: A comparison between the United States and India. IIMB Management Review 33:1, pages 50-63.
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Nurjannah, Solimun & Adji Rinaldo. (2017) The estimation of time-varying risks in asset pricing modelling using B-Spline method. Journal of Physics: Conference Series 943, pages 012045.
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