13-036/III - Robust Estimation and Forecasting of the Capital Asset Pricing Model

• Authors
  Guorui Bian, East China Normal University; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Complutense University of Madrid; Wing-Keung Wong, Hong Kong Baptist University
• Publication date
  March 4, 2013

• Keywords
  Maximum likelihood estimators; Modified maximum likelihood estimators; Student t family; Capital asset pricing model; Robustness
• JEL
  C1, C2, G1