Statistical Estimation for CAPM with Long-Memory Dependence

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...

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Main Authors: Tomoyuki Amano, Tsuyoshi Kato, Masanobu Taniguchi
Format: Article
Language:English
Published: Asia University 2012-01-01
Series:Advances in Decision Sciences
Online Access:http://dx.doi.org/10.1155/2012/571034
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spelling doaj-9aa33b26b9f048aabf32de0bd84ef6952020-11-24T21:59:09ZengAsia UniversityAdvances in Decision Sciences2090-33592090-33672012-01-01201210.1155/2012/571034571034Statistical Estimation for CAPM with Long-Memory DependenceTomoyuki Amano0Tsuyoshi Kato1Masanobu Taniguchi2Faculty of Economics, Wakayama University, Wakayama 6408510, JapanDepartment of Applied Mathematics, School of Fundamental Science and Engineering, Waseda University, Tokyo 1698555, JapanDepartment of Applied Mathematics, School of Fundamental Science and Engineering, Waseda University, Tokyo 1698555, JapanWe 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.http://dx.doi.org/10.1155/2012/571034
collection DOAJ
language English
format Article
sources DOAJ
author Tomoyuki Amano
Tsuyoshi Kato
Masanobu Taniguchi
spellingShingle Tomoyuki Amano
Tsuyoshi Kato
Masanobu Taniguchi
Statistical Estimation for CAPM with Long-Memory Dependence
Advances in Decision Sciences
author_facet Tomoyuki Amano
Tsuyoshi Kato
Masanobu Taniguchi
author_sort Tomoyuki Amano
title Statistical Estimation for CAPM with Long-Memory Dependence
title_short Statistical Estimation for CAPM with Long-Memory Dependence
title_full Statistical Estimation for CAPM with Long-Memory Dependence
title_fullStr Statistical Estimation for CAPM with Long-Memory Dependence
title_full_unstemmed Statistical Estimation for CAPM with Long-Memory Dependence
title_sort statistical estimation for capm with long-memory dependence
publisher Asia University
series Advances in Decision Sciences
issn 2090-3359
2090-3367
publishDate 2012-01-01
description 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.
url http://dx.doi.org/10.1155/2012/571034
work_keys_str_mv AT tomoyukiamano statisticalestimationforcapmwithlongmemorydependence
AT tsuyoshikato statisticalestimationforcapmwithlongmemorydependence
AT masanobutaniguchi statisticalestimationforcapmwithlongmemorydependence
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