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The structural sharpe model under t-distributions
- Source :
- JOURNAL OF APPLIED STATISTICS, Artículos CONICYT, CONICYT Chile, instacron:CONICYT
- Publication Year :
- 2010
- Publisher :
- TAYLOR & FRANCIS LTD, 2010.
-
Abstract
- In this paper we consider Sharpe's single-index model or Sharpe's model, by assuming that the returns obtained follow a multivariate t elliptical distribution. Also, given that the returns of the market are not observable, the statistical analysis was made in the context of an errors-in-variables model. In order to analyze the sensibility to possible outliers and/or atypical returns of the maximum likelihood estimators the local influence method [10] was implemented. The results are illustrated by using a set of shares of companies belonging to the Chilean Stock Market. The main conclusion is that the t model with small degrees of freedom is able to incorporate possible outliers and influential returns in the data.
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- JOURNAL OF APPLIED STATISTICS, Artículos CONICYT, CONICYT Chile, instacron:CONICYT
- Accession number :
- edsair.doi.dedup.....f4087325c88689ad50e08d26f54d1eca