Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market
This paper examines the effect exerted by outliers in the equity betas in the Integrated Latin American Market (MILA), estimated by two different methods: ordinary least squares (OLS) and robust estimation (RMM). To illustrate the empirical relevance of the estimated betas, we evaluate the hedging r...
- Autores:
-
Gómez, Andrés
Gutiérrez, Astrid K.
Gutiérrez, Juan C.
- Tipo de recurso:
- Fecha de publicación:
- 2017
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/13113
- Acceso en línea:
- http://hdl.handle.net/10784/13113
- Palabra clave:
- G12
G17
C14
C18
Estimation of beta
Robust statistics MM (RMM)
Ordinary least squares (OLS)
Hedging ratio with stock MILA market index futures
Estimación de beta
Método robusto MM (RMM)
Método mínimos cuadrados ordinarios (MCO)
Cobertura con futuros sobre índices MILA
- Rights
- License
- Acceso abierto