An Analysis of Multi-factor Model for Arbitrage Pricing Theory with Regime Switching: Evidence from S&;P500 Stock
碩士 === 長庚大學 === 工商管理學系 === 101 === The aim of this paper is to examine whether Arbitrage Pricing Theory will be a better model to explain stock price return, when volatility status of explanatory factors are considered. In this study, we use Markov Regime-Switching model to analyze the volatility st...
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| Format: | Others |
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2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/39075138660738809874 |