Yan Yu

University of Cincinnati - Department of Business Analytics

606 Carl H. Lindner Hall 2925 Campus Green Drive

PO Box 210211

Cincinnati, OH 45221-0211

United States

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Scholarly Papers (1)

1.

Time-Varying Beta and the Value Premium: A Single-Index Varying-Coefficient Model Approach

Number of pages: 48 Posted: 06 Mar 2015
Hui Guo, Chaojiang Wu and Yan Yu
University of Cincinnati - Department of Finance - Real Estate, Drexel University and University of Cincinnati - Department of Business Analytics
Downloads 244 (152,578)
Citation 3

Abstract:

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Conditional CAPM, Penalized Splines, Single-Index Models, Value Premium, Variable Selection