Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/106497
Type: Artigo de periódico
Title: Influence Diagnostic In The Capital Asset Pricing Model Under Elliptical Distributions
Author: Galea M.
Diaz-Garcia J.
Vilca F.
Abstract: In this paper we consider the Capital Asset Pricing Model under Elliptical (symmetric) Distributions. This class of distributions, which contains the normal distribution, t, contaminated normal and power exponential, among others, offers a more flexible framework for modelling asset prices or returns. In order to analyze the sensibility to possible outliers and/or atypical returns of the maximum likelihood estimators, the local influence method was implemented. The results are illustrated by using a set of shares from companies who trade in the Chilean Stock Market. Our main conclusion is that symmetric distributions having heavier tails than those of the normal distribution, especially the t distribution with small degrees of freedom, show a better fit and allow the reduction of the influence of atypical returns in the maximum likelihood estimators.
Editor: 
Rights: fechado
Identifier DOI: 10.1080/02664760701775712
Address: http://www.scopus.com/inward/record.url?eid=2-s2.0-38049083798&partnerID=40&md5=da2b74c0b39c732529d6db3c6e7bddf0
Date Issue: 2008
Appears in Collections:Unicamp - Artigos e Outros Documentos

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