Statistical estimation for CAPM with long-memory dependence

DOI10.1155/2012/571034MaRDI QIDQ764801zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Tomoyuki Amano, Tsuyoshi Kato, Masanobu Taniguchi

Publication date 14 March 2012

Published in Advances in Decision Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/571034

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Review text

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.

Recommendations

• scientific article; zbMATH DE number 1944316
• Estimation and pricing under long-memory stochastic volatility
• Estimation of long memory in integrated variance
• ON M‐Estimation Under Long‐Range Dependence in Volatility
• Parametric estimation of long memory in factor models
• Estimation and forecasting of long memory stochastic volatility models
• Estimating Long Memory in Volatility
• Covariances estimation for long-memory processes
• scientific article; zbMATH DE number 1538081
• The detection and estimation of long memory in stochastic volatility

Cites work

• A limit theory for long-range dependence and statistical inference on related models
• Determination of cointegrating rank in fractional systems.
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 3056150 (Why is no real title available?)
• Long memory relationships and the aggregation of dynamic models
• Stochastic regression model with dependent disturbances
• Time series regression with long-range dependence

Cited in

(2)

• Spectral analysis of public utility returns
• The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility

This page was built for publication: Statistical estimation for CAPM with long-memory dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q764801)