Revistas Académicas WoS
Adjusted betas under reference - day risk
Our article analyzes the performance of different methods to adjust beta. Specifically, we compare the standard ordinary least squares (OLS) regression method with the Blume and t distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the variation due to changes in the reference day.
http://www.tandfonline.com/doi/full/10.1080/0013791X.2013.855855#tabModule
The Engineering Economist, Vol. 59, No. 1, pp. 79 - 88, Marzo, 2014
Autor(es): González Marcelo, Rodríguez Arturo, Stein Roberto