Add to ORKGInternational audienceWe suggest a new model-free definition of the beta coefficient, which plays an important rôle in systematic risk management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009, online: http://hal.inria.fr/inria-00352834/en/) leads to convincing computer experiments which are easily implementable
Hedging is frequently viewed as a high level contributing technique that supports in everyday lives ...
This work aims to exploit the so-called "Beta anomaly" regarding the risk-reward relationship, and s...
Cahier de recherche du Groupe HECThis paper finds that the market betas of value and small stocks ha...
International audienceWe suggest a new model-free definition of the beta coefficient, which plays an...
Betas play a central role in modern finance. The estimation of betas from historical data and their ...
Beta is commonly used in many publications as a measure of risk of an investment or as an index for ...
This paper shows that the systematic risk (or "beta") of individual stocks increases by an economica...
Researchers and practitioners face many choices when estimating an asset’s sensitivities toward risk...
© 2019 Elsevier B.V. Researchers and practitioners face many choices when estimating an asset's sens...
The ability to accurately estimate systematic risk (or beta) when reference-day risk is considered, ...
International audienceSystematic and multifactor risk models are revisited via methods which were al...
Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait...
The phrase “Dynamic Beta” is broad and this paper describes statistical procedure for estimating reg...
The paper presents a comparative study of conventional beta adjustment techniques and suggests an im...
A strategy for estimating, ?filtering and forecasting time-varying factor betas is proposed. The app...
Hedging is frequently viewed as a high level contributing technique that supports in everyday lives ...
This work aims to exploit the so-called "Beta anomaly" regarding the risk-reward relationship, and s...
Cahier de recherche du Groupe HECThis paper finds that the market betas of value and small stocks ha...
International audienceWe suggest a new model-free definition of the beta coefficient, which plays an...
Betas play a central role in modern finance. The estimation of betas from historical data and their ...
Beta is commonly used in many publications as a measure of risk of an investment or as an index for ...
This paper shows that the systematic risk (or "beta") of individual stocks increases by an economica...
Researchers and practitioners face many choices when estimating an asset’s sensitivities toward risk...
© 2019 Elsevier B.V. Researchers and practitioners face many choices when estimating an asset's sens...
The ability to accurately estimate systematic risk (or beta) when reference-day risk is considered, ...
International audienceSystematic and multifactor risk models are revisited via methods which were al...
Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait...
The phrase “Dynamic Beta” is broad and this paper describes statistical procedure for estimating reg...
The paper presents a comparative study of conventional beta adjustment techniques and suggests an im...
A strategy for estimating, ?filtering and forecasting time-varying factor betas is proposed. The app...
Hedging is frequently viewed as a high level contributing technique that supports in everyday lives ...
This work aims to exploit the so-called "Beta anomaly" regarding the risk-reward relationship, and s...
Cahier de recherche du Groupe HECThis paper finds that the market betas of value and small stocks ha...