Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights

Tae-Hwan Kim ()

Journal of Financial Econometrics, 2005, vol. 3, issue 3, 315-343

Abstract: Sharpe-style regression has become a widely used analytic tool in the financial community. The style regression allows one to investigate such interesting issues as style composition, style sensitivity, and style change over time. All previous methods to obtain the distribution and confidence intervals of the style coefficients are statistically valid only in the special case in which none of the true style weights are zero or one. In practice, it is quite plausible to have zero or one for the values of some style weights. In this article we apply new results and develop a comparable Bayesian method to obtain statistically valid distributions and confidence intervals regardless of the true values of style weights. Copyright 2005, Oxford University Press.

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbi015 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:3:y:2005:i:3:p:315-343

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Journal of Financial Econometrics is currently edited by Allan Timmermann and Fabio Trojani

More articles in Journal of Financial Econometrics from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().