Wednesday, September 24, 2014

﻿

 Lógica Matemáticas Astronomía y Astrofísica Física Química Ciencias de la Vida Ciencias de la Tierra y Espacio Ciencias Agrarias Ciencias Médicas Ciencias Tecnológicas Antropología Demografía Ciencias Económicas Geografía Historia Ciencias Jurídicas y Derecho Lingüística Pedagogía Ciencia Política Psicología Artes y Letras Sociología Ética Filosofía
﻿

## Robust Estimation and Forecasting of the Capital Asset Pricing Model

1) La descarga del recurso depende de la página de origen
2) Para poder descargar el recurso, es necesario ser usuario

Descargar recurso

### Detalles del recurso

Pertenece a: E-PrintsUCM

Descripción: 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.

Autor(es): Bian, Guorui -  McAleer, Michael -  Wong, Wing -  Keung -

Id.: 55229003

Idioma: eng  -

Versión: 1.0

Tipo:  application/pdf -

Palabras claveEconometría -

Tipo de recurso: working_paper  -  NonPeerReviewed  -

Audiencia: Estudiante  -  Profesor  -  Autor  -

Estructura: Atomic

Coste: no

: info:eu-repo/semantics/openAccess

Formatos:  application/pdf -

Requerimientos técnicos:  Browser: Any -

Relación: [References] http://eprints.ucm.es/15059/
[References] http://eprints.ucm.es/15059/

Fecha de contribución: 10-ene-2014

Contacto:

Localización:

### Otros recursos del mismo autor(es)

1. Property (T) and strong Property (T) for unital C∗-algebras In this paper, we will give a thorough study of the notion of Property (T) for C∗-algebras (as intro...
2. Measurement of the Single Top Quark Production Cross Section and |Vtb| in Events with One Charged Lepton, Large Missing Transverse Energy, and Jets at CDF We report a measurement of single top quark production in proton-antiproton collisions at a center-o...
3. Studies of high-transverse momentum jet substructure and top quarks produced in 1.96 TeV proton-antiproton collisions Results of a study of the substructure of the highest transverse momentum (pT) jets observed by the ...
4. Measurement of differential production cross section for $Z/γ^*$ bosons in association with jets in $p\bar{p}$ collisions at $\sqrt{s}=1.96$ TeV Differential cross sections for the production of $Z$ bosons or off-shell photons $\gamma^*$ in asso...
5. Tight Lower Bounds for st-Connectivity on the NNJAG Model Directed st-connectivity is the problem of deciding whether or not there exists a path from a distin...

### Otros recursos de la misma colección

1. English Semantics and Pragmatics This manual covers the basic contents of 'Semántica y pragmática del inglés' (‘English semantics and...
2. The essence of Becker: an introduction This volume contains a selection of Becker's papers which are considered representative of his appro...
3. Detection of chaos in time series. Application to spanish sea swell En esta memoria se revisan tres herramientas complementarias para el Análisis No-Lineal de Series Te...
4. Technological strategies of MNCS in intermediate countries: the case of Spain The aim of this paper is to improve cur knowledge about the weight MNCS have in the Spanish Innovati...
5. Factors in the siting and commercial behaviour of multinational companies in Spain The extent of the process of internationalisation and the important role that multinational companie...

### Valoración de los usuarios

No hay ninguna valoración para este recurso.Sea el primero en valorar este recurso.

Busque un recurso