Capital asset pricing model using copula based sur for interval-valued energy index

Capital asset pricing model using copula based sur for interval-valued energy index

© 2018 IEEE. The objective of this paper is to analyze risk, return and dependency of energy index based in CAPM with copula based Seemingly Unrelated Regression (SUR) model and convex combination interval-valued data. The data are daily maximum and minimum of MSCI US, UK and EU energy index start f...

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Main Author: Roengchai Tansuchat
Format: Conference Proceeding
Published: 2018
Subjects:
Decision Sciences
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85050126153&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58603
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-586032018-09-05T04:26:46Z Capital asset pricing model using copula based sur for interval-valued energy index Roengchai Tansuchat Decision Sciences © 2018 IEEE. The objective of this paper is to analyze risk, return and dependency of energy index based in CAPM with copula based Seemingly Unrelated Regression (SUR) model and convex combination interval-valued data. The data are daily maximum and minimum of MSCI US, UK and EU energy index start from Feb 12, 2001 to Dec 22, 2017 for a total of 4,404 observations. The results show that Gaussian is the most appropriate copula family for data with proper distribution of each CAPM equation is student-t. The copula dependency between EU-UK is positive and high value (0.7392) while EU- US and UK-US are positive and low value (0.0803 and 0.036, respectively). The beta risk of EU and UK is high 0.8 while of US is 1.05. 2018-09-05T04:26:46Z 2018-09-05T04:26:46Z 2018-06-21 Conference Proceeding 2-s2.0-85050126153 10.1109/INFOMAN.2018.8392803 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85050126153&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58603
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Decision Sciences
spellingShingle Decision Sciences
Roengchai Tansuchat
Capital asset pricing model using copula based sur for interval-valued energy index
description © 2018 IEEE. The objective of this paper is to analyze risk, return and dependency of energy index based in CAPM with copula based Seemingly Unrelated Regression (SUR) model and convex combination interval-valued data. The data are daily maximum and minimum of MSCI US, UK and EU energy index start from Feb 12, 2001 to Dec 22, 2017 for a total of 4,404 observations. The results show that Gaussian is the most appropriate copula family for data with proper distribution of each CAPM equation is student-t. The copula dependency between EU-UK is positive and high value (0.7392) while EU- US and UK-US are positive and low value (0.0803 and 0.036, respectively). The beta risk of EU and UK is high 0.8 while of US is 1.05.
format Conference Proceeding
author Roengchai Tansuchat
author_facet Roengchai Tansuchat
author_sort Roengchai Tansuchat
title Capital asset pricing model using copula based sur for interval-valued energy index
title_short Capital asset pricing model using copula based sur for interval-valued energy index
title_full Capital asset pricing model using copula based sur for interval-valued energy index
title_fullStr Capital asset pricing model using copula based sur for interval-valued energy index
title_full_unstemmed Capital asset pricing model using copula based sur for interval-valued energy index
title_sort capital asset pricing model using copula based sur for interval-valued energy index
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85050126153&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58603
_version_ 1681425096231616512

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