Statistical estimation for CAPM with long-memory dependence (Q764801)
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scientific article; zbMATH DE number 6014724
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| English | Statistical estimation for CAPM with long-memory dependence |
scientific article; zbMATH DE number 6014724 |
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Statistical estimation for CAPM with long-memory dependence (English)
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14 March 2012
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Summary: We investigate the capital asset 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 procesess and correlated with each other. We give a sufficient condition for the return of assets in the CAPM to be of 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.
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