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  • Search: subject:"Student’s t family"
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Year of publication
Subject
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Capital Asset Pricing Model 1 Maximum likelihood estimators 1 Modified maximum likelihood estimators 1 Robustness 1 Student’s t family 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Bian, Guorui 1 Wong, Wing-Keung 1
Institution
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Department of Economics, National University of Singapore 1
Published in...
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Departmental Working Papers / Department of Economics, National University of Singapore 1
Source
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RePEc 1
Showing 1 - 1 of 1
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Robust Estimation of Multiple Regression Model with asymmetric innovations and Its Applicability on Asset Pricing Model
Wong, Wing-Keung; Bian, Guorui - Department of Economics, National University of Singapore - 2005
In this paper, we first develop the modified maximum likelihood (MML) estimators for the multiple regression coefficients in linear model with the underlying distribution assumed to be symmetric, one of Student's t family. We obtain the closed form of the estimators and derive their asymptotic...
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