Beta estimation in the market model: skewness and leptokurtosis

DOI10.1080/03610929308831189zbMath0800.62758OpenAlexW2109930997MaRDI QIDQ4275848

Ray D. Nelson, James B. McDonald

Publication date: 20 January 1994

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

Full work available at URL: https://doi.org/10.1080/03610929308831189

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (4)

Family of multivariate generalized \(t\) distributions ⋮ Measurement error in linear regression models with fat tails and skewed errors ⋮ Using parametric classification trees for model selection with applications to financial risk management ⋮ Robust Location and Scale Estimation Based on the Univariate Generalizedt(GT) Distribution

Cites Work

• Unnamed Item
• Introduction to robust and quasi-robust statistical methods
• Some Generalized Functions for the Size Distribution of Income
• Alternative beta estimation for the market model using partially adaptive techniques
• Adaptive Robust Procedures: A Partial Review and Some Suggestions for Future Applications and Theory
• The Influence Curve and Its Role in Robust Estimation
• Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
• Robust Statistics

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