Testing the Capital Asset Pricing Model using the Kalman Filter: Empirical Evidence from the Mexican Stock Market

Vista sencilla de ítem
dc.contributor.authorSamaniego-Alcántar, Ángel
dc.contributor.authorCasillas-Aceves, Santiago A.
dc.date.accessioned2018-05-08T21:16:05Z
dc.date.available2018-05-08T21:16:05Z
dc.date.issued2018-03
dc.descriptionThe 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.es
dc.identifier.citationSamaniego-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/11117/5325es
dc.identifier.isbn978-607-547-003-0
dc.identifier.urihttp://hdl.handle.net/11117/5325
dc.language.isoenges
dc.publisherUniversidad de Guadalajaraes
dc.rights.urihttp://quijote.biblio.iteso.mx/licencias/CC-BY-NC-2.5-MX.pdfes
dc.subjectCAPM; Kalman Filter; Factor Model; Asset Pricinges
dc.titleTesting the Capital Asset Pricing Model using the Kalman Filter: Empirical Evidence from the Mexican Stock Marketes
dc.typeinfo:eu-repo/semantics/bookPartes
rei.peerreviewedYeses
rei.revisorUniversidad de Guadalajara

Archivos

Bloque original
Mostrando 1 - 1 de 1
Miniatura
Nombre:
Testing the Capital Asset Pricing Model.pdf
Tamaño:
2.32 MB
Formato:
Adobe Portable Document Format
Descripción:
Descargar

Colecciones

DEAM - Libros y capítulos de libros