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 |
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論文番号 | 571034 |
ジャーナル | Advances in Decision Sciences |
巻 | 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