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文章基本信息

  • 标题:Predicting Betas: Two New Methods
  • 作者:Victoria Esteban González Y Fernando Tusell Palmer
  • 期刊名称:Biltoki
  • 出版年度:2009
  • 期号:01
  • 出版社:Universidad del País Vasco
  • 摘要:

    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 generalization of the method in Blume (1975), and the second is based on Procrustes rotation in phase space. We compare their performance with various competitors and draw some conclusions.

  • 关键词:risk prediction; systematic risk; beta coefficients; Procustes rotation
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