Title of article
Influence diagnostics in the capital asset pricing model under elliptical distributions
Author/Authors
Manuel Galea، نويسنده , , José A. D?az-Garc?a & Filidor Vilca، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
14
From page
179
To page
192
Abstract
In this paper we consider the Capital Asset Pricing Model under Elliptical (symmetric)
Distributions. This class of distributions, which contains the normal distribution, t, contaminated normal
and power exponential, among others, offers a more flexible framework for modelling asset prices or
returns. In order to analyze the sensibility to possible outliers and/or atypical returns of the maximum
likelihood estimators, the local influence method was implemented. The results are illustrated by using a
set of shares from companies who trade in the Chilean Stock Market. Our main conclusion is that symmetric
distributions having heavier tails than those of the normal distribution, especially the t distribution with
small degrees of freedom, show a better fit and allow the reduction of the influence of atypical returns in
the maximum likelihood estimators
Keywords
robust estimation , diagnostics , Local influence , Elliptical distributions
Journal title
JOURNAL OF APPLIED STATISTICS
Serial Year
2008
Journal title
JOURNAL OF APPLIED STATISTICS
Record number
712188
Link To Document