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dc.contributor.authorWoraphon Yamakaen_US
dc.contributor.authorRungrapee Phadkanthaen_US
dc.description.abstractIn this paper, the interval approach for Markov switching capital asset pricing model (MS-CAPM) is proposed to quantify the beta risk in two different regimes, namely a bull and a bear regimes. Instead of fitting a MS-CAPM on specific fixed reference points, such as midpoints (center method), and lower and upper bounds (MinMax method), this study suggests choosing the reference points that better represent the intervals of excess stock return and excess market return. Therefore, the convex combination (CC) method is introduced to fit the interval MS-CAPM. The proposed interval MS-CAPM performance based on the CC method is assessed and compared with the center method and the MinMax method through a simulation study and two application studies.en_US
dc.subjectComputer Scienceen_US
dc.titleA convex combination approach for Markov switching CAPM of interval dataen_US
article.title.sourcetitleSoft Computingen_US
article.volume25en_US Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

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