Robust estimation of systematic risk using the t distribution in the chilean stock markets

Authors: Cademartori D.¹; Romo C.¹; Campos R.¹; Galea M.²

Source: Applied Economics Letters, Volume 10, Number 7, June 10, 2003 , pp. 447-453(7)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

This article deals with the estimate of the systematic risk of a share, assuming that returns follow an independent t distribution. In order to analyse the sensibility to possible outliers and/or atypical returns of the maximum likelihood estimator of the systematic risk, the local influence method 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.

Document Type: Research article

DOI: http://dx.doi.org/10.1080/1350485032000082018

Affiliations: 1: Escuela de Comercio, Universidad Católica de Valparaíso, Chile 2: Departamento de Estadística, Universidad de Valparaíso, Chile

Publication date: 2003-06-01

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