Time-varying beta estimation in CAPM under the regime-switching Model
© 2018, Springer International Publishing AG. The objectives of this study are to analyze the risk of investment and to examine the structural change in the CAPM. To there ends, the Markov Switching dynamic regression is employed to construct the time varying beta risk when the market exhibits struc...
Saved in:
Main Authors: | Roengchai Tansuchat, Sukrit Thongkairat, Woraphon Yamaka, Songsak Sriboonchitta |
---|---|
格式: | Book Series |
出版: |
2018
|
在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038854207&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43878 |
標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
機構: | Chiang Mai University |
相似書籍
-
Time-varying beta estimation in CAPM under the regime-switching Model
由: Roengchai Tansuchat, et al.
出版: (2018) -
European Real Estate Risk and Spillovers: Regime Switching Approach
由: Nisara Wongutai, et al.
出版: (2018) -
Maximum product spacings method for the estimation of parameters of linear regression
由: Sukrit Thongkairat, et al.
出版: (2018) -
A Markov-Switching Model with Mixture Distribution Regimes
由: Paravee Maneejuk, et al.
出版: (2018) -
Bayesian approach for mixture copula model
由: Sukrit Thongkairat, et al.
出版: (2019)