Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/60179
Type: Artigo de periódico
Title: Influence diagnostics in the capital asset pricing model under elliptical distributions
Author: Galea, M
Diaz-Garcia, JA
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.
Subject: robust estimation
diagnostics
local influence
elliptical distributions
Country: Inglaterra
Editor: Routledge Journals, Taylor & Francis Ltd
Rights: fechado
Identifier DOI: 10.1080/02664760701775712
Date Issue: 2008
Appears in Collections:Unicamp - Artigos e Outros Documentos

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