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: | , , , |
|---|---|
| Format: | Book Series |
| Published: |
2018
|
| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038854207&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58541 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Chiang Mai University |