Statistical estimation for CAPM with long-memory dependence

DOI10.1155/2012/571034zbMath1233.91319DBLPjournals/jamds/AmanoKT12OpenAlexW2012109168WikidataQ58697808 ScholiaQ58697808MaRDI QIDQ764801

Masanobu Taniguchi, Tsuyoshi Kato, Tomoyuki Amano

Publication date: 14 March 2012

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

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

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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• Long memory relationships and the aggregation of dynamic models
• Time series regression with long-range dependence
• A limit theory for long-range dependence and statistical inference on related models
• Determination of cointegrating rank in fractional systems.
• Stochastic Regression Model with Dependent Disturbances

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