The empirical research of CAPM based on Markov regime switching

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice

Volumn 27, Issue 6, 2007, Pages 21-26

  Su, Tao ^a,b   Zhan, Yuan Rui ^a   Liu, Jia Peng ^a  

^a TIANJIN UNIVERSITY   (China)

^b Tianjin Municipal Bureau of Statistics   (China)

Author keywords

CAPM; EM algorithm; Markov process; Regime

Indexed keywords

EID: 34447626590     PISSN: 10006788     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (19)