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Robust estimation and forecasting of the capital asset pricing model
Guorui Bian
, Michael McAleer
, Wing Keung Wong
Research output
:
Contribution to journal
›
Journal article
›
peer-review
21
Citations (Scopus)
Overview
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Dive into the research topics of 'Robust estimation and forecasting of the capital asset pricing model'. Together they form a unique fingerprint.
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Keyphrases
Asymptotic Properties
33%
Capital Asset Pricing Model
100%
Least Squares Estimator
66%
Mean Square Error
33%
Modified Maximum Likelihood
100%
Monthly Return
33%
Multiple Linear Regression Model
33%
One-step-ahead Prediction
33%
Relative Efficiency
33%
Robust Estimation
100%
Robust Forecasting
100%
Student-t Distribution
33%
Mathematics
Asymptotic Property
33%
Closed Form
33%
Least Squares Method
66%
Maximum Likelihood Estimator
100%
Mean Square Error
33%
Multiple Linear Regression Model
33%
Relative Efficiency
33%
Robust Estimation
100%
Square Estimator
66%
Economics, Econometrics and Finance
CAPM
100%
Robust Statistics
100%