IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Robust estimation of systematic risk using the t distribution in the chilean stock markets

  • David Cademartori
  • Cecilia Romo
  • Ricardo Campos
  • Manuel Galea
Registered author(s):

    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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/1350485032000082018A&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 10 (2003)
    Issue (Month): 7 ()
    Pages: 447-453

    as
    in new window

    Handle: RePEc:taf:apeclt:v:10:y:2003:i:7:p:447-453
    Contact details of provider: Web page: http://www.tandfonline.com/RAEL20

    Order Information: Web: http://www.tandfonline.com/pricing/journal/RAEL20

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. 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.
    2. 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.
    3. 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.
    4. repec:dgr:kubcen:199708 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:10:y:2003:i:7:p:447-453. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.