Browsing Documentos de Trabajo e Informes Técnicos by Author "ESTEBAN GONZALEZ, MARIA VICTORIA"

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      Nonparametric estimation betas in the Market Model 

      Esteban González, María Victoria ORCID; Orbe Mandaluniz, Susan (2006)
      In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of ...
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      Predicting Betas: Two new methods 

      Esteban González, María Victoria ORCID; Tusell Palmer, Fernando Jorge ORCID (2009)
      Betas play a central role in modern finance. The estimation of betas from historical data and their extrapolation into the future is of considerable practical interest. We propose two new methods: the first is a direct ...