Time-Varying Beta Estimation in CAPM Under the Regime-Switching Model.

Roengchai Tansuchat Sukrit Thongkairat Woraphon Yamaka Songsak Sriboonchitta

Published in: ECONVN (2018)

Keyphrases

formal model
statistical model
probabilistic model
computational model
real time
simulation model
data sets
mathematical model
probability distribution
cost function
theoretical framework
prior knowledge
experimental data
multi agent systems
image sequences
prediction model
estimation algorithm