Selected Robust Methods for Camp Model Estimation

• Authors: Grażyna Trzpiot
• Languages of publication: EN

Abstracts

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.

Keywords

EN

OLS estimators; systematic risk; LTS estimators; quantile regression estimators

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2012
• Volume: 12
• Issue: 2
• Pages: 58-71

Dates

published

2012-12-01

online

2013-07-30

Contributors

author

Grażyna Trzpiot

• University of Economics in Katowice, Faculty of Informatics and Communication Department of Demography and Economic Statistics Bogucicka 14, 40-226 Katowice, Poland

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Identifiers

DOI

10.2478/v10031-012-0032-7