Arbeitspapier
Robust Estimation and Forecasting of the Capital Asset Pricing Model
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
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 13-036/III
- Klassifikation
-
Wirtschaft
- Thema
-
Maximum likelihood estimators
Modified maximum likelihood estimators
Student t family
Capital asset pricing model
Robustness
Maximum-Likelihood-Methode
CAPM
Robustes Verfahren
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bian, Guorui
McAleer, Michael
Wong, Wing-Keung
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bian, Guorui
- McAleer, Michael
- Wong, Wing-Keung
- Tinbergen Institute
Entstanden
- 2013
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