Statistical Estimation for CAPM with Long-Memory Dependence | Zendy

Tomoyuki Amano | Zendy; Tsuyoshi Kato | Zendy; Masanobu Taniguchi | Zendy

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Statistical Estimation for CAPM with Long-Memory Dependence

Author(s) -

Tomoyuki Amano,

Tsuyoshi Kato,

Masanobu Taniguchi

Publication year - 2011

Publication title -

advances in decision sciences

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.178

H-Index - 13

eISSN - 2090-3367

pISSN - 2090-3359

DOI - 10.1155/2012/571034

Subject(s) - capital asset pricing model , estimator , econometrics , portfolio , asymptotic distribution , market portfolio , estimation , economics , mathematics , statistics , financial economics , management

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

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