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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2020
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| Materias: | |
| 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 |