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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| Format: | Conference Proceeding |
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2018
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| 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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