首页 | 本学科首页   官方微博 | 高级检索  
     


Alternative beta estimation for the market model using partially adaptive techniques
Authors:James B. McDonald  Ray D. Nelson
Affiliation:Brigham Young University , Provo, Utah, 84602
Abstract:The leptokurtosls of many security market return distributions can contaminate ordinary least squares estimates of the β coefficient of the market model. Partially adaptive estimation techniques accommodate the possibility of fat tailed distributions. this methodology limits the influence of extremely large residuals and yields estimates which are both statistically and practically different from ordinary least squares.
Keywords:generalized t  Box-Tiao  power-exponential  regression  partially adaptive estimation  ordinary least squares  least absolute deviation  lp  beta coefficients  market model  leptokurtosls  stock returns  influence functions
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号