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Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model

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Author Info

  • Peter Winker

    ()

  • Marianna Lyra

    ()

  • Chris Sharpe

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10287-009-0103-x
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Bibliographic Info

Article provided by Springer in its journal Computational Management Science.

Volume (Year): 8 (2011)
Issue (Month): 1 (April)
Pages: 103-123

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Handle: RePEc:spr:comgts:v:8:y:2011:i:1:p:103-123

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Web page: http://www.springerlink.com/link.asp?id=111894

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Related research

Keywords: Least median of squares; CAPM; Multi-factor model; Differential evolution; Threshold accepting;

References

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  1. Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2000. "Econometric applications of high-breakdown robust regression techniques," MPRA Paper 41529, University Library of Munich, Germany.
  2. Yang, Zheng & Tian, Zheng & Yuan, Zixia, 2007. "GSA-based maximum likelihood estimation for threshold vector error correction model," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 109-120, September.
  3. Rousseeuw, Peter J. & Wagner, Joachim, 1994. "Robust regression with a distributed intercept using least median of squares," Computational Statistics & Data Analysis, Elsevier, vol. 17(1), pages 65-76, January.
  4. Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2007. "Using differential evolution to improve the accuracy of bank rating systems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 68-87, September.
  5. Peter Winker & Dietmar Maringer, 2009. "The convergence of estimators based on heuristics: theory and application to a GARCH model," Computational Statistics, Springer, vol. 24(3), pages 533-550, August.
  6. Winker, Peter & Maringer, Dietmar, 2004. "The Hidden Risks of Optimizing Bond Portfolios under VaR," Research Notes 13, Deutsche Bank Research.
  7. Fitzenberger, Bernd & Winker, Peter, 2007. "Improving the computation of censored quantile regressions," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 88-108, September.
  8. I. Roko & M. Gilli, 2008. "Using economic and financial information for stock selection," Computational Management Science, Springer, vol. 5(4), pages 317-335, October.
  9. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  10. Chan, Louis K. C. & Lakonishok, Josef, 1992. "Robust Measurement of Beta Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(02), pages 265-282, June.
  11. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  12. Huseyin Ince, 2006. "Non-Parametric Regression Methods," Computational Management Science, Springer, vol. 3(2), pages 161-174, April.
  13. Barreto, Humberto & Maharry, David, 2006. "Least median of squares and regression through the origin," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1391-1397, March.
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Citations

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Cited by:
  1. Blueschke, D. & Blueschke-Nikolaeva, V. & Savin, I., 2013. "New insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 821-837.
  2. Ivan Savin & Dmitri Blueschke, 2013. "Solving nonlinear stochastic optimal control problems using evolutionary heuristic optimization," Jena Economic Research Papers 2013-051, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.

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