The Two-Beta-Regime International Capital Asset Pricing Model Created and Examined-An Empirical Study on Major Stock Market Index Returns
碩士 === 國立暨南國際大學 === 經濟學系 === 90 === The paper adopts Markov-switching (hereafter, MS) models to create and examine Two-Beta-Regime International Capital Asset Pricing (hereafter, ICAPM) model. Specifically, we use MS model to identify the high or low volatility regimes of stock market index returns,...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/s35hn9 |