|
Título:
|
Robust Estimation and Forecasting of the Capital Asset Pricing Model
|
|
Autores:
|
Bian, Guorui ;
McAleer, Michael ;
Wong, Wing-Keung
|
|
Tipo de documento:
|
texto impreso
|
|
Fecha de publicación:
|
2012-04
|
|
Dimensiones:
|
application/pdf
|
|
Nota general:
|
cc_by_nc
info:eu-repo/semantics/openAccess
|
|
Idiomas:
|
|
|
Palabras clave:
|
Estado = No publicado
,
Materia = Ciencias Sociales: Economía: Econometría
,
Tipo = Documento de trabajo o Informe técnico
|
|
Resumen:
|
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for estimating the parameters of the Capital Asset Pricing Model by comparing its performance with least squares estimators (LSE) on the monthly returns of US portfolios. The empirical results reveal that the MML estimators are more efficient than LSE in terms of the relative efficiency of one-step-ahead forecast mean square error in small samples.
|
|
En línea:
|
https://eprints.ucm.es/id/eprint/15059/1/1209.pdf
|
