Robust estimation of systematic risk using the t distribution in the chilean stock markets
This 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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Volume (Year): 10 (2003)
Issue (Month): 7 ()
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- 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.
- 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.
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