- Autor
- Fiszeder Piotr (Nicolaus Copernicus University in Toruń, Poland)
- Tytuł
- Test of the CAPM Model with Time-Varying Covariances for the Polish Stock Market
- Źródło
- FindEcon Monograph Series : advances in financial market analysis, 2006, nr 2, s. 241-255, rys., tab., bibliogr. s. 254-255
- Tytuł własny numeru
- Financial markets : principles of modeling forecasting and decision-making
- Słowa kluczowe
- Model GARCH, Giełda papierów wartościowych, Model wyceny aktywów kapitałowych
GARCH model, Stock market, Capital Asset Pricing Model (CAPM) - Abstrakt
- Chapter 14 tests CAPM model with the application of several specifications of the multivariate GARCH models. Two new extensions of the GARCH-M model are proposed: the GARCH-M model with the price of market risk changing over time according to the random walk process and the GARCH model with the asymmetric GARCH-M effect. In the empirical part tests of the CAPM model are performed. Estimation results suggest that the relation between expected returns and covariances is significant but the price of market risk is positive when return is positive and negative when return is negative. (original abstract)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
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- Cytowane przez
- Język
- eng
