Selected Robust Methods for Camp Model Estimation

• Autorzy: Grażyna Trzpiot
• Języki publikacji: EN

Abstrakty

EN

This paper presents evidence that Ordinary Least Squares estimators of beta coefficients of major firms and portfolios are highly sensitive to observations of extremes in market index returns. This sensitivity is rooted in the inconsistency of the quadratic loss function in financial theory. By introducing considerations of risk aversion into the estimation procedure using alternative estimators measures of variability we can overcome this lack of robustness and improve the reliability of the results. (original abstract)

Słowa kluczowe

EN

Robust statistical methods; Estimation methods; Systemic risk; Quantile regression

PL

Odporne metody statystyczne; Metody estymacji; Ryzyko systemowe; Regresja kwantylowa

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2012
• Tom: 12
• Numer: nr 2
• Strony: 58--71

Twórcy

autor

Grażyna Trzpiot

• University of Economics in Katowice, Poland

Bibliografia

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