• 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