Multi-regime nonlinear capital asset pricing models
From MaRDI portal
Publication:2866374
DOI10.1080/14697680902968013zbMath1277.91059OpenAlexW3125304144MaRDI QIDQ2866374
Ann M. H. Lin, Cathy W. S. Chen, Richard H. Gerlach
Publication date: 13 December 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680902968013
asymmetryBayesian analysisARCHfinancial time seriesvalue at riskvolatility modellingtime series economics
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (6)
Beyond CAPM: estimating the cost of equity considering idiosyncratic risks ⋮ Assessing Sectoral Risk Through Skew-Error Capital Asset Pricing Model: Empirical Evidence from Thai Stock Market ⋮ Smooth transition quantile capital asset pricing models with heteroscedasticity ⋮ Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis ⋮ Model Selection and Averaging in Financial Risk Management ⋮ On double hysteretic heteroskedastic model
Cites Work
- A unified approach to nonlinearity, structural change, and outliers
- Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
- Comparison of nonnested asymmetric heteroskedastic models
- Generalized autoregressive conditional heteroscedasticity
- Markov chains for exploring posterior distributions. (With discussion)
- On some difficulties with a posterior probability approximation technique
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Sampling-Based Approaches to Calculating Marginal Densities
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- Bayesian Methods for Hidden Markov Models
- Bayesian Measures of Model Complexity and Fit
- Testing and Modeling Threshold Autoregressive Processes
- Asymmetric response and interaction of U.S. and local news in financial markets
- Monte Carlo sampling methods using Markov chains and their applications
This page was built for publication: Multi-regime nonlinear capital asset pricing models
