Robust regression for capital asset pricing model using Bayesian approach

MaRDI QIDQ5120590zbMATH OpenFDO

Authors Kittawit Autchariyapanitkul, K. Kunasri, Songsak Sriboonchitta

Publication date 15 September 2020

Full work available at URL http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/2481

zbMATH Keywords

Bayesian approachCAPMGibb samplingprior distributionrobust regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Quantile regression under asymmetric Laplace distribution in capital asset pricing model
• Evaluation of portfolio returns in Fama-French model using quantile regression under asymmetric Laplace distribution
• Smooth transition quantile capital asset pricing models with heteroscedasticity
• Application of robust statistics to asset allocation models
• Minimax estimation with random coefficients: Theory and application to stock returns

Cites work

• Quantile regression under asymmetric Laplace distribution in capital asset pricing model

Cited in

(8)

• A further analysis of robust regression modeling and data mining corrections testing in global stocks
• Portfolio risk analysis using GARCH model
• A two-phase approach to estimating time-varying parameters in the capital asset pricing model
• Quantile regression under asymmetric Laplace distribution in capital asset pricing model
• Evaluation of portfolio returns in Fama-French model using quantile regression under asymmetric Laplace distribution
• Capital asset pricing model through quantile regression: an entropy approach
• Regression equation fitting as an approach to modelling financial data
• Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions

This page was built for publication: Robust regression for capital asset pricing model using Bayesian approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5120590)