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image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Archivio della ricer...arrow_drop_down
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
Archivio della ricerca - Università degli studi di Napoli "Parthenope"
Conference object . 2002
Data sources: Archivio della ricerca - Università degli studi di Napoli "Parthenope"
Claim

Maximum likelihood estimation of a CAPM with time-varying beta

descriptionPublicationkeyboard_double_arrow_right Conference object 01 Jan 2002 Italy English
Authors: DE LUCA, GIOVANNI; BARTOLUCCI F.;

handle: 11367/15471

Maximum likelihood estimation of a CAPM with time-varying beta

Abstract

It is investigated the likelihood inference for the time-varying parameter version of the popular Capital Asset Pricing Model when the error is a mixture of two normal distributions. The estimation of the parameters is carried out through an approximation of the likelihood based on a quadrature method.

Country
Italy
Related Organizations
Keywords

Time-varying parameter, mixture of distributions, time series

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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