Robust Estimation of Multiple Regression Model with asymmetric innovations and Its Applicability on Asset Pricing Model
Year of publication: |
2005-05
|
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Authors: | Wong, Wing-Keung ; Bian, Guorui |
Institutions: | Department of Economics, National University of Singapore |
Subject: | Maximum likelihood estimators | Modified maximum likelihood estimators | Student’s t family | Capital Asset Pricing Model | Robustness |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models ; G1 - General Financial Markets |
Source: |
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