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- W2012109168 abstract "We investigate the Capital Asser Pricing Model (CAPM) with time dimension. By using time series analysis, we discuss the estimation of CAPM when market portfolio and the error process are long-memory process and correlated with each other. We give a sufficient condition for the return of assets in the CAPM to be short memory. In this setting, we propose a two-stage least squares estimator for the regression coefficient and derive the asymptotic distribution. Some numerical studies are given. They show an interesting feature of this model." @default.
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- W2012109168 date "2012-12-11" @default.
- W2012109168 modified "2023-09-27" @default.
- W2012109168 title "Statistical Estimation for CAPM with Long-Memory Dependence" @default.
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- W2012109168 doi "https://doi.org/10.1155/2012/571034" @default.
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