Alternative beta estimation for the market model using partially adaptive techniques

DOI10.1080/03610928908830140zbMath0696.62374OpenAlexW2004109285MaRDI QIDQ3474177

James B. McDonald

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1080/03610928908830140

zbMATH Keywords

least absolute deviationmarket modelstock returnsregressionordinary least squaresinfluence functionsleptokurtosispartially adaptive estimationbeta coefficientsBox-Tiaogeneralized tpower-exponential

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (8)

Family of multivariate generalized \(t\) distributions ⋮ Beta estimation in the market model: skewness and leptokurtosis ⋮ Adjusting for the interval effect bias in beta coefficients on a thin security market: application of a lag distribution model ⋮ Robust estimation with flexible parametric distributions: estimation of utility stock betas ⋮ Modelling stochastic volatility using generalizedtdistribution ⋮ Robust Location and Scale Estimation Based on the Univariate Generalizedt(GT) Distribution ⋮ Bayesian Inference in Generalized Error and Generalized Student-tRegression Models ⋮ Selecting from among 12 alternative distributions of financial data

Cites Work

• Introduction to robust and quasi-robust statistical methods
• Some Generalized Functions for the Size Distribution of Income
• The Influence Curve and Its Role in Robust Estimation
• Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
• Robust Statistics

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