Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models
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More about this item
Keywords
Nonparametric; Estimation; Time-varying Sharpe Ratio; Asset Pricing;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2005-02-01 (Corporate Finance)
- NEP-FIN-2005-02-01 (Finance)
- NEP-RMG-2005-02-01 (Risk Management)
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