Markov switching regression with interval data: Application to financial risk via CAPM

• Main Authors: Pathairat Pastpipatkul, Paravee Maneejuk, Songsak Sriboonchitta
• Format: Journal
• Published: 2018
• Subjects: Energy; Engineering; Environmental Science; Mathematics; Agricultural and Biological Sciences; Arts and Humanities
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85040866708&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/46640
• Institution: Chiang Mai University

© 2017 American Scientific Publishers. All rights reserved. In the past, the study of finance have basically focused on single-valued data which may not well represent the stock price behaviour. Therefore, this paper suggests the approach that gains more efficiency from using the interval-valued dat...