Statistical estimation for CAPM with long-memory dependence

Tomoyuki Amano, Tsuyoshi Kato, Masanobu Taniguchi

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    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

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    ASJC Scopus subject areas

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

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