Citations (13)
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Keshav Sahadev, Michael Ward & Chris Muller. (2018) The impact of reference-day risk on beta estimation and a proposed solution. Investment Analysts Journal 47:4, pages 327-342.
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Marcelo Gonzalez, Arturo Rodriguez & Roberto Stein. (2017) Portfolio performance under reference-day risk. Investment Analysts Journal 46:1, pages 32-43.
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Marcelo Gonzalez, Arturo Rodriguez & Roberto Stein. (2014) Adjusted Betas Under Reference-Day Risk. The Engineering Economist 59:1, pages 79-88.
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GilbertoA. Paula & Francisco JoséA. Cysneiros. (2009) Systematic risk estimation in symmetric models. Applied Economics Letters 16:2, pages 217-221.
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Manuel Galea, José
A. Díaz-García & Filidor Vilca. (2008) Influence diagnostics in the capital asset pricing model under elliptical distributions. Journal of Applied Statistics 35:2, pages 179-192.
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Fernando A. Quintana
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Articles from other publishers (7)
Danilo Leal, Rodrigo Jiménez, Marco Riquelme & Víctor Leiva. (2023) Elliptical Capital Asset Pricing Models: Formulation, Diagnostics, Case Study with Chilean Data, and Economic Rationale. Mathematics 11:6, pages 1394.
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Manuel Galea, David Cademartori, Roberto Curci & Alonso Molina. (2020) Robust Inference in the Capital Asset Pricing Model Using the Multivariate t-distribution. Journal of Risk and Financial Management 13:6, pages 123.
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Rui Li & Saralees Nadarajah. (2018) A review of Student’s t distribution and its generalizations. Empirical Economics 58:3, pages 1461-1490.
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Manuel Galea & Patricia Giménez. (2016) Local influence diagnostics for the test of mean–variance efficiency and systematic risks in the capital asset pricing model. Statistical Papers 60:1, pages 293-312.
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Christopher Baker, Kanshukan Rajaratnam & Emlyn James Flint. (2016) Beta estimates of shares on the JSE Top 40 in the context of reference-day risk. Environment Systems and Decisions 36:2, pages 126-141.
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Vivekananda Roy & James P. Hobert. (2010) On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors. Journal of Multivariate Analysis 101:5, pages 1190-1202.
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Kesh Sahadev, Mike Ward & Chris Muller. (2018) A Volume-Weighted-Average-Price (VWAP) Method for Estimating Beta in the Context of Reference-Day Risk.. SSRN Electronic Journal.
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