TY  - RPRT
AU  - Bian, Guorui
AU  - McAleer, Michael
AU  - Wong, Wing-Keung
PY  - 2012
UR  - https://hdl.handle.net/20.500.14352/49086
AB  - In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate...
LA  - eng
KW  - Maximum likelihood estimators
KW  - Modified maximum likelihood estimators
KW  - Student family
KW  - Capital asset pricing model
KW  - Robustness.
TI  - Robust Estimation and Forecasting of the Capital Asset Pricing Model
TY  - technical report
VL  - 2012
ER  -