International CAPM with Regime Switching GARCH Parameters
| Year of publication: |
2000-07-01
|
|---|---|
| Authors: | Capiello, Lorenzo ; Fearnley, Tom A. |
| Publisher: |
International Center for Financial Asset Management and Engineering (FAME) <Genf> |
| Subject: | Capital-Asset-Pricing-Modell | Multivariate Analyse |
- 1. Introduction
- 2. Methodology
- 3. Data
- 4. Estimation
- 5. Practical applications
- 6. Summary of results an conclusion
Persistent link: https://www.econbiz.de/10005843221