Robust Estimation and Forecasting of the Capital Asset Pricing Model
Year of publication: |
2010-10-26
|
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Authors: | McAleer, Michael ; Wong, Wing-Keung ; Bian, Bian, G. |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | capital asset pricing model | maximum likelihood estimators | modified maximum likelihood estimators | robustness | student t family |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2010-62 |
Classification: | C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models |
Source: |
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