Robust estimation of systematic risk using the t distribution in the chilean stock markets
AbstractThis article deals with the estimate of the systematic risk of a share, assuming that returns follow an independent t distribution. In order to analyse the sensibility to possible outliers and/or atypical returns of the maximum likelihood estimator of the systematic risk, the local influence method 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.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 10 (2003)
Issue (Month): 7 ()
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