Statistical estimation for CAPM with long-memory dependence

Tomoyuki Amano, Tsuyoshi Kato, Masanobu Taniguchi

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We investigate the Capital Asser Pricing Model (CAPM) with time dimension. By using time series analysis, we discuss the estimation of CAPM when market portfolio and the error process are long-memory process and correlated with each other. We give a sufficient condition for the return of assets in the CAPM to be short memory. In this setting, we propose a two-stage least squares estimator for the regression coefficient and derive the asymptotic distribution. Some numerical studies are given. They show an interesting feature of this model.

Original languageEnglish
Article number571034
JournalAdvances in Decision Sciences
Volume2012
DOIs
Publication statusPublished - 2012

ASJC Scopus subject areas

  • Decision Sciences(all)
  • Statistics and Probability
  • Computational Mathematics
  • Applied Mathematics

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