The structural Sharpe model under t-distributions

dc.creatorGalea, M
dc.creatorCademartori, D
dc.creatorVilca, F
dc.date2010
dc.date2014-11-18T03:55:36Z
dc.date2015-11-26T16:51:03Z
dc.date2014-11-18T03:55:36Z
dc.date2015-11-26T16:51:03Z
dc.date.accessioned2018-03-28T23:37:50Z
dc.date.available2018-03-28T23:37:50Z
dc.identifierJournal Of Applied Statistics. Taylor & Francis Ltd, v. 37, n. 12, n. 1979, n. 1990, 2010.
dc.identifier0266-4763
dc.identifierWOS:000284416000002
dc.identifier10.1080/02664760903207316
dc.identifierhttp://www.repositorio.unicamp.br/jspui/handle/REPOSIP/72510
dc.identifierhttp://www.repositorio.unicamp.br/handle/REPOSIP/72510
dc.identifierhttp://repositorio.unicamp.br/jspui/handle/REPOSIP/72510
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1275887
dc.descriptionIn this paper we consider Sharpe's single-index model or Sharpe's model, by assuming that the returns obtained follow a multivariate t elliptical distribution. Also, given that the returns of the market are not observable, the statistical analysis was made in the context of an errors-in-variables model. In order to analyze the sensibility to possible outliers and/or atypical returns of the maximum likelihood estimators the local influence method [10] was implemented. The results are illustrated by using a set of shares of companies belonging to the Chilean Stock Market. The main conclusion is that the t model with small degrees of freedom is able to incorporate possible outliers and influential returns in the data.
dc.description37
dc.description12
dc.description1979
dc.description1990
dc.descriptionFondecyt [1070919]
dc.descriptionLaboratorio de Analisis Estocastico
dc.descriptionPBCT-ACT13
dc.descriptionDGI Pontificia Universidad Catolica de Valparaiso, Chile
dc.descriptionFondecyt [1070919]
dc.languageen
dc.publisherTaylor & Francis Ltd
dc.publisherAbingdon
dc.publisherInglaterra
dc.relationJournal Of Applied Statistics
dc.relationJ. Appl. Stat.
dc.rightsfechado
dc.rightshttp://journalauthors.tandf.co.uk/permissions/reusingOwnWork.asp
dc.sourceWeb of Science
dc.subjectdiagnostics
dc.subjectt-distribution
dc.subjecterrors-in-variables models
dc.subjectportfolios
dc.subjectSharpe model
dc.subjectLinear-regression Models
dc.subjectLocal Influence
dc.subjectInfluence Diagnostics
dc.subjectTests
dc.subjectMatrix
dc.subjectPrices
dc.titleThe structural Sharpe model under t-distributions
dc.typeArtículos de revistas


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