Time-varying beta estimation in CAPM under the regime-switching Model

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...

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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
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