Statistical Estimation for CAPM with Long-Memory Dependence
Joint Authors
Kato, Tsuyoshi
Amano, Tomoyuki
Taniguchi, Masanobu
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-12-11
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Economics & Business Administration
Business Administration
Abstract EN
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.
American Psychological Association (APA)
Amano, Tomoyuki& Kato, Tsuyoshi& Taniguchi, Masanobu. 2011. Statistical Estimation for CAPM with Long-Memory Dependence. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-481631
Modern Language Association (MLA)
Amano, Tomoyuki…[et al.]. Statistical Estimation for CAPM with Long-Memory Dependence. Advances in Decision Sciences No. 2012 (2012), pp.1-12.
https://search.emarefa.net/detail/BIM-481631
American Medical Association (AMA)
Amano, Tomoyuki& Kato, Tsuyoshi& Taniguchi, Masanobu. Statistical Estimation for CAPM with Long-Memory Dependence. Advances in Decision Sciences. 2011. Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-481631
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-481631