Statistical estimation for CAPM with long-memory dependence

Tomoyuki Amano; Tsuyoshi Kato; Masanobu Taniguchi

doi:10.1155/2012/571034

Statistical estimation for CAPM with long-memory dependence

Tomoyuki Amano^*, Tsuyoshi Kato, Masanobu Taniguchi

^*Corresponding author for this work

School of Fundamental Science and Engineering

Research output: Contribution to journal › Article › peer-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 language	English
Article number	571034
Journal	Advances in Decision Sciences
Volume	2012
DOIs	https://doi.org/10.1155/2012/571034
Publication status	Published - 2012

ASJC Scopus subject areas

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

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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.",

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Statistical estimation for CAPM with long-memory dependence

Abstract

ASJC Scopus subject areas

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