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Conditional beta pricing models: A nonparametric approach
(2010)
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances ...
Time-Varying Beta Estimators in the Mexican Emerging Market
(2011)
This paper compares the performance of three different time-varying betas that have never
previously been compared: the rolling OLS estimator, a nonparametric estimator and an
estimator based on GARCH models. The study ...
Nonparametric estimation betas in the Market Model
(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 ...