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...

Descripción completa

Detalles Bibliográficos
Autores principales: Pham, Chinh Duc, Phuoc, Le Tan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7384329/
https://www.ncbi.nlm.nih.gov/pubmed/32743085
http://dx.doi.org/10.1016/j.heliyon.2020.e04339

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7384329/
https://www.ncbi.nlm.nih.gov/pubmed/32743085
http://dx.doi.org/10.1016/j.heliyon.2020.e04339

Ejemplares similares