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statistical estimation for capm with long-memory dependence统计估计capm的长记忆依赖
Hindawi Publishing Corporation
Advances in Decision Sciences
Volume 2012, Article ID 571034, 12 pages
doi:10.1155/2012/571034
Research Article
Statistical Estimation for CAPM with
Long-Memory Dependence
Tomoyuki Amano,1 Tsuyoshi Kato,2 and Masanobu Taniguchi2
1 Faculty of Economics, Wakayama University, Wakayama 6408510, Japan
2 Department of Applied Mathematics, School of Fundamental Science and Engineering,
Waseda University, Tokyo 1698555, Japan
Correspondence should be addressed to Tomoyuki Amano, tomchami@cent
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