A convex combination approach for Markov switching CAPM of interval data

DOI10.1007/s00500-021-05798-yzbMath1498.91474OpenAlexW3156485449MaRDI QIDQ2100165

Rungrapee Phadkantha, Woraphon Yamaka

Publication date: 21 November 2022

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-021-05798-y

zbMATH Keywords

convex combinationcapital asset pricing modelinterval-valued dataMarkov switching regression

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Interval-valued data regression using nonparametric additive models
• Centre and range method for fitting a linear regression model to symbolic interval data
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• Calibration ofρValues for Testing Precise Null Hypotheses
• Significance test for linear regression: how to test without P-values?
• Why the Use of Convex Combinations Works Well for Interval Data: A Theoretical Explanation
• How the Maximal Evidence of P-Values Against Point Null Hypotheses Depends on Sample Size

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