- 期刊
Analysis and Comparison of Asian Stock Markets Using Integrated Time-Varying Model Processing
並列摘要
This paper analyses the risk-return relationships of Asian stock markets with a time-varying CAPM model for ten Asian Stock Markets. We purpose the Adaptive Least Squares with Kalman foundations, Bayesian, and Quantile regression for estimating the time-varying CAPM model and comparing the alpha, beta for each estimator. The values of time-varying alpha and beta, estimated from Quantile regression, are much greater and lesser than the estimating-value of the time- varying alpha and beta, estimated from The Bayesian and Kalman filtered estimator at quantile 2.5% and 97.5%. The Bayesian and Kalman filtered estimator present the closely value.
延伸閱讀
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