On the properties of the coefficient of determination in regression models with infinite variance variables
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More about this item
KeywordsCoefficient of determination; α-stable distributions; Signal to noise ratio; Density transformation theorem; Monte Carlo simulation; Fama–MacBeth regression; CAPM;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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