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

DOI10.1007/s00362-016-0838-8zbMath1411.62295OpenAlexW2537490026MaRDI QIDQ2633428

Manuel Galea, Patricia Gimenez

Publication date: 8 May 2019

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0838-8

zbMATH Keywords

capital asset pricing modelWald test statisticfirst and second-order approacheslocal influence diagnostics

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Diagnostics, and linear inference and regression (62J20) Actuarial science and mathematical finance (91G99)

Related Items (3)

On a logistic regression model with random intercept: diagnostic analytics, simulation and biological application ⋮ Elliptical linear mixed models with a covariate subject to measurement error ⋮ Inference in multivariate regression models with measurement errors

Uses Software

• R

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The commutation matrix: Some properties and applications
• Sensitivity analysis of structural equation models
• Perturbation selection and local influence analysis for nonlinear structural equation model
• Fréchet distance as a tool for diagnosing multivariate data
• On local influence for elliptical linear models
• Influence diagnostics in log-linear integer-valued GARCH models
• Local influence in multivariate elliptical linear regression models
• Influence measures on corrected score estimators in functional heteroscedastic measurement error models
• Perturbation selection and influence measures in local influence analysis
• Local Influence for Incomplete Data Models
• Generalized Local Influence with Applications to Fish Stock Cohort Analysis
• Conformal Normal Curvature and Assessment of Local Influence
• Influence Diagnostics for Simultaneous Equations Models
• Local Influence in Comparative Calibration Models
• Local influence in principal components analysis
• Local Influence in Linear Mixed Models
• Assessing Influence in Regression Analysis with Censored Data
• A Test of the Efficiency of a Given Portfolio
• Influence Diagnostics for Elliptical Multivariate Linear Regression Models
• Influence diagnostics in the capital asset pricing model under elliptical distributions
• Influence diagnostics in Gaussian spatial linear models
• Statistics and Data Analysis for Financial Engineering
• Local Influence for Generalized Linear Models with Missing Covariates
• Local influence analysis for Poisson autoregression with an application to stock transaction data

This page was built for publication: Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model