Multi-regime nonlinear capital asset pricing models

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

zbMATH Keywords

asymmetryBayesian analysisARCHfinancial time seriesvalue at riskvolatility modellingtime series economics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Portfolio theory (91G10)

Related Items (6)

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