Cademartori, David; Romo, Cecilia; Campos, Ricardo; … - In: Applied Economics Letters 10 (2003) 7, pp. 447-453
This article deals with the estimate of the systematic risk of a share, assuming that returns follow an independent t distribution. In order to analyse the sensibility to possible outliers and/or atypical returns of the maximum likelihood estimator of the systematic risk, the local influence...