Research and publications
Analysing Statistical Robustness of Cross-Sectional Volatility
This paper proposes a robust method of estimation which is intuitive and is functionally similar to the weighted-average estimator studied by Garcia, Mantilla-Garcia and Martellini (2013) in the context of one-factor and multi-factor regression models. To meet this objective, we adopt a statistical technique called M-estimation.
Author(s):
Felix Goltz, Lionel Martellini, Stoyan Stoyanov
Summary:
This paper proposes a robust method of estimation which is intuitive and is functionally similar to the weighted-average estimator studied by Garcia, Mantilla-Garcia and Martellini (2013) in the context of one-factor and multi-factor regression models. To meet this objective, we adopt a statistical technique called M-estimation.
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Register/Log in| Type : | EDHEC Publication |
|---|---|
| Date : | 23/10/2013 |
| Keywords : |
Volatility |
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