Statistical estimation for CAPM with long-memory dependence

Tomoyuki Amano, Tsuyoshi Kato, Masanobu Taniguchi

研究成果: Article査読

2 被引用数 (Scopus)

抄録

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.

本文言語English
論文番号571034
ジャーナルAdvances in Decision Sciences
2012
DOI
出版ステータスPublished - 2012

ASJC Scopus subject areas

  • 決定科学(全般)
  • 統計学および確率
  • 計算数学
  • 応用数学

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