Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model

@article{Winker2011LeastMO,
  title={Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model},
  author={Peter Winker and Marianna Lyra and Chris Sharpe},
  journal={Comput. Manag. Science},
  year={2011},
  volume={8},
  pages={103-123}
}
For estimating the parameters of models for financial market data, the use of robust techniques is of particular interest. Conditional forecasts, based on the capital asset pricing model, and a factor model are considered. It is proposed to consider least median of squares estimators as one possible alternative to ordinary least squares. Given the complexity of the objective function for the least median of squares estimator, the estimates are obtained by means of optimization heuristics. The… CONTINUE READING

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