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Capital Asset Pricing Model and Changes in Volatility

This paper deals with applies regime-switching models to assess the effects of different regimes of volatility in asset pricing.
Year of publication:
1998-09-30
Authors: Santos, Andre Oliveira
Publisher: International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject: Finanzierungstheorie | Capital-Asset-Pricing-Modell | Wertpapieranalyse | Aktienanalyse | equity analysis
freely available
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  • 1. Introduction
  • 2. GARCH/ARCH-M and Regime-Switching Models
  • 3. CAPM with Changes in Volatiliy
  • 4. Data Description and Interpretation of empirical Results
  • 5. Conclusions
Persistent link: https://www.econbiz.de/10005843118
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