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Robust estimation and forecasting of the capital asset pricing model

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Robust estimation and forecasting of the capital asset pricing model

Bian, Guorui; McAleer, Michael; Wong, Wing Keung - 2010 - Rev.

In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...

Persistent link: https://www.econbiz.de/10008839915

Impact of option strategies in financial portfolios performance : mean-variance and stochastic dominance approaches

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Robust estimation and forecasting of the capital asset pricing model

Bian, Guorui; McAleer, Michael; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10009724796

Robust estimation and forecasting of the capital asset pricing model

Bian, Guorui; McAleer, Michael; Wong, Wing Keung - In: Annals of financial economics 8 (2013) 2, pp. 1-18

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Empirical test of the efficiency of the UK covered warrants market : stochastic dominance and likelihood ratio test approach

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Persistent link: https://www.econbiz.de/10009615744

Robust estimation and forecasting of the capital asset pricing model

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Persistent link: https://www.econbiz.de/10008760514

Approximate series solutions of a one-factor term structure model for bond pricing

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Modeling of stock returns in continuous vis-à-vis discrete time is equivalent, respectively, to the conditioning of stock returns on a random walk process for trade imbalances vis-...

Obrimah, Oghenovo Adewale; Wong, Wing Keung - In: Annals of financial economics 17 (2022) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10013262988