A SIMULATION STUDY OF SOME NONPARAMETRIC REGRESSION-ESTIMATORS

被引：7
|
作者：
TALWAR, PP [1 ]
机构：
[1] UNIV ALBERTA,DEPT FINANCE & MANAGEMENT SCI,EDMONTON T6G 2R6,AB,CANADA
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 1993年 / 15卷 / 03期
关键词：
ARCH; HETEROSCEDASTICITY; HEAVY TAILS; ROBUST; SIMULATION; SECURITY PRICE; CAPM;
D O I：
10.1016/0167-9473(93)90259-V
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We study the performance of the Theil type estimators when observations are generated from the models which have been suggested in the finance literature to fit security price data. In the simulation study, the distributions chosen as models for the error term in regression equations are: standard normal, ''t'' with 4 degrees of freedom, symmetric stable and chi-square with 4 degrees of freedom. In addition, some heteroscedastic models (unconditional as well as ARCH) are also included in the simulation study.
引用
收藏
页码：309 / 327
页数：19
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