Statistical Estimation for CAPM with Long-Memory Dependence
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 t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Asia University
2012-01-01
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| Series: | Advances in Decision Sciences |
| Online Access: | http://dx.doi.org/10.1155/2012/571034 |