Statistical estimation for CAPM with long-memory dependence

Tomoyuki Amano, Tsuyoshi Kato, Masanobu Taniguchi

    Research output: Contribution to journalArticle

    1 Citation (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

    Fingerprint

    Statistical Estimation
    Long Memory
    Pricing
    Data storage equipment
    Two-stage Least Squares
    Long Memory Process
    Costs
    Market Model
    Least Squares Estimator
    Time Series Analysis
    Regression Coefficient
    Asymptotic distribution
    Time series analysis
    Numerical Study
    Model
    Sufficient Conditions
    Statistical estimation
    Long memory

    ASJC Scopus subject areas

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

    Cite this

    Statistical estimation for CAPM with long-memory dependence. / Amano, Tomoyuki; Kato, Tsuyoshi; Taniguchi, Masanobu.

    In: Advances in Decision Sciences, Vol. 2012, 571034, 2012.

    Research output: Contribution to journalArticle

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