The structural Sharpe model undert-distributions

DOI10.1080/02664760903207316OpenAlexW2053757775MaRDI QIDQ5123670

Manuel Galea, Filidor Vilca, David Cademartori

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760903207316

zbMATH Keywords

diagnosticserrors-in-variables modelsportfoliosSharpe model\(\mathbf{t}\)-distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Influence diagnostics for the structural sharpe model under normal/independent distributions ⋮ A generalized pivotal quantity approach to portfolio selection

Uses Software

• robustbase

Cites Work

• Score test for the covariance matrix of the elliptical \(t\)-distribution
• Restricted methods in symmetrical linear regression models
• A Lagrange multiplier test for GARCH models
• On structural comparative calibration under a \(t\)-model
• One-Sided Tests in Linear Models with Multivariatet-Distribution
• Estimation of the parameters of a regression model with a multivariate t error variable
• Influence Diagnostics for Simultaneous Equations Models
• Assessing Influence in Regression Analysis with Censored Data
• Influence Diagnostics for Elliptical Multivariate Linear Regression Models
• Robust Statistics
• Linear mixed models for longitudinal data
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item