Testing the Capital Asset Pricing Model using the Kalman Filter: Empirical Evidence from the Mexican Stock Market
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Fecha
2018-03
Autores
Samaniego-Alcántar, Ángel
Casillas-Aceves, Santiago A.
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Editor
Universidad de Guadalajara
Resumen
Descripción
The Capital Asset Pricing Model (CAPM) widely used for the valuation of financial assets may have periods of low expla- nation (low R-square). For those periods, the factor models have a low confidence. The Kalman filter is able to sort out the noise that often have the data, such as the high volatility of the time series in financial markets. This chapter presents empirical evidence of CAPM model calculation using the Kalman filter from the Mexican financial market data.
Palabras clave
CAPM; Kalman Filter; Factor Model; Asset Pricing
Citación
Samaniego-Alcántar, Á. & Casillas-Aceves, S.A. (2018). Testing the Capital Asset Pricing Model using the Kalman Filter: Empirical Evidence from the Mexican Stock Market.. En Coronado, Rojas & Venegas-Martínez (ed.). Recent Topics in Time Series and Finance: Theory and Applications in Emerging Markets (pp 81-94). Guadajara, México: Universidad de Guadalajara. https://rei.iteso.mx/handle/11117/5325