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Book Chapter

Robust Prediction of Beta

  • Genton M
  • Ronchetti E
Springer Berlin Heidelberg, (2008), 147-161
DOI: 10.1007/978-3-540-77958-2_8
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Abstract

… squared error. The performance of the proposed shrinkage robust estimator is shown by means of a small simulation study and on a real data set. Key words: Beta, CAPM, outliers, robustness, shrinkage. Preamble In the past …

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Genton, M. G., & Ronchetti, E. (2008). Robust Prediction of Beta. In Computational Methods in Financial Engineering (pp. 147–161). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-77958-2_8

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