Influence diagnostics for the structural sharpe model under normal/independent distributions

DOI10.1080/03610926.2018.1444176OpenAlexW2790156611MaRDI QIDQ5078377FDOQ5078377

Authors: Camila Borelli Zeller, Filidor Vilca, Manuel Galea 

Publication date: 23 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1444176

zbMATH Keywords

errors-in-variables modelsEM-algorithmportfoliosdiagnosticsnormal/independent (NI) distributionsSharpe's model

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (1)

• Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model

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