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Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice?
This research argued for estimating the Capital Asset Pricing Model (CAPM) using daily and medium-horizon data over monthly and short horizon-data. Using a Gibbs sample, the Bayesian framework via both parametric and non-parametric Bayes estimators, confidence interval approach, and six data sets (t...
Shranjeno v:
| izdano v: | Heliyon |
|---|---|
| Main Authors: | , |
| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
Elsevier
2020
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| Teme: | |
| Online dostop: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7384329/ https://ncbi.nlm.nih.gov/pubmed/32743085 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.heliyon.2020.e04339 |
| Oznake: |
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