Robust estimation of systematic risk using the t distribution in the chilean stock markets
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DOI: 10.1080/1350485032000082018A
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References listed on IDEAS
- Berkane, Maia & Kano, Yutaka & Bentler, Peter M., 1994. "Pseudo maximum likelihood estimation in elliptical theory: Effects of misspecification," Computational Statistics & Data Analysis, Elsevier, vol. 18(2), pages 255-267, September.
- Taylor, Jeremy M. G., 1992. "Properties of modelling the error distribution with an extra shape parameter," Computational Statistics & Data Analysis, Elsevier, vol. 13(1), pages 33-46, January.
- 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.
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