Concept · The RiskModels engine (ERM3)
Robust beta (Huber-M)
Betas estimated by 252-day rolling Huber-M regression, robust to the fat tails (earnings gaps, single-day reclassifications) that distort ordinary least squares.
In depth
Betas are fit by a 252-day rolling Huber-M regression, which down-weights fat-tailed days (earnings gaps, single-day reclassifications) that distort ordinary least squares.
In the methodology
Beta estimation: Huber + Vasicek peer adjustment →Referenced by (0)
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