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~person:"McAleer, Michael"
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Maximum likelihood estimators
7
Robustness
7
Capital asset pricing model
6
Modified maximum likelihood estimators
6
Student t family
6
CAPM
3
capital asset pricing model
3
modified maximum likelihood estimators
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student t family
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maximum likelihood estimators
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robustness
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McAleer, Michael
Hoogerheide, Lennart
39
Dijk, Herman K. van
26
Ardia, David
25
Koopman, Siem Jan
22
Opschoor, Anne
16
Basturk, Nalan
14
Lucas, André
14
van Dijk, Herman K.
14
Hoogerheide, Lennart F.
13
Bian, Guorui
8
Platen, Eckhard
8
Wong, Wing-Keung
8
Ganics, Gergely
6
Grassi, Stefano
6
Nadarajah, Saralees
6
Rossi, Barbara
6
Sekhposyan, Tatevik
6
Chib, Siddhartha
5
Nguyen, Hoang
5
Barra, István
4
Borowska, Agnieszka
4
Chatelain, Jean-Bernard
4
Creal, Drew
4
Harvey, A.
4
Lucchetta, Marcella
4
Mazur, Stepan
4
Racine, Jeffrey
4
Sinding-Larsen, Richard
4
Tian, Kun
4
Torres, Cristian A. C.
4
Van Keilegom, Ingrid
4
Afuecheta, Emmanuel
3
Batiz-Zuk, Enrique
3
Borowiecki, Karol Jan
3
Cerqueira, Vinícius dos Santos
3
Delle Monache, Davide
3
Dixon, Huw
3
Dovern, Jonas
3
Growiec, Jakub
3
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
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1
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1
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1
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RePEc
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ECONIS (ZBW)
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1
Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui
;
McAleer, Michael
;
Wong, Wing-Keung
-
Tinbergen Instituut
-
2013
develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying
student
t
…
Persistent link: https://www.econbiz.de/10011256601
Saved in:
2
Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui
;
McAleer, Michael
;
Wong, Wing-Keung
-
2013
underlying
student
t
distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate …
Persistent link: https://www.econbiz.de/10010326459
Saved in:
3
Robust estimation and forecasting of the capital asset pricing model
Bian, Guorui
;
McAleer, Michael
;
Wong, Wing Keung
-
2013
Persistent link: https://www.econbiz.de/10009724796
Saved in:
4
Robust Estimation and Forecasting of the Capital Asset Pricing Model
McAleer, Michael
;
Bian, Guorui
;
Wong, Wing-Keung
-
Facultad de Ciencias Económicas y Empresariales, …
-
2012
underlying
student
t
distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate …
Persistent link: https://www.econbiz.de/10010778730
Saved in:
5
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
Saved in:
6
Robust Estimation and Forecasting of the Capital Asset Pricing Model
McAleer, Michael
;
Wong, Wing-Keung
;
Bian, Bian, G.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
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/10010731713
Saved in:
7
Robust Estimation and Forecasting of the Capital Asset Pricing Model
McAleer, Michael
;
Wong, Wing-Keung
;
Bian, Bian, G.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
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/10010837868
Saved in:
8
Robust estimation and forecasting of the capital asset pricing model
Bian, Guorui
;
McAleer, Michael
;
Wong, Wing Keung
- In:
Annals of financial economics
8
(
2013
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010250276
Saved in:
9
Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui
;
McAleer, Michael
;
Wong, Wing-Keung
-
Department of Economics and Finance, College of …
-
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/10008692053
Saved in:
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