Nonlinearities in the CAPM: Evidence from Developed and Emerging Markets
Nonlinearities in the CAPM: Evidence from Developed and Emerging Markets
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Chichester: Wiley Periodicals Inc
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Language
English
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Chichester: Wiley Periodicals Inc
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This paper examines the forecasting ability of the nonlinear specifications of the market model. We propose a conditional two‐moment market model with a time‐varying systematic covariance (beta) risk in the form of a mean reverting process of the state‐space model via the Kalman filter algorithm. In addition, we account for the systematic component...
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Full title
Nonlinearities in the CAPM: Evidence from Developed and Emerging Markets
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TN_cdi_proquest_journals_1966056915
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1966056915
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ISSN
0277-6693
E-ISSN
1099-131X
DOI
10.1002/for.2389
