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~isPartOf:"KIER Working Papers"
~person:"McAleer, Michael"
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Capital asset pricing model
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Maximum likelihood estimators
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McAleer, Michael
Bian, Guorui
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Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui
;
McAleer, Michael
;
Wong, Wing-Keung
-
Institute of Economic Research, Kyoto University
-
2010
underlying
student
t
distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate …
Persistent link: https://www.econbiz.de/10008670445
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