It is investigated the likelihood inference for the time-varying parameter version of the popular Capital Asset Pricing Model when the error is a mixture of two normal distributions. The estimation of the parameters is carried out through an approximation of the likelihood based on a quadrature method.
Maximum likelihood estimation of a CAPM with time-varying beta
DE LUCA, GIOVANNI;
2002-01-01
Abstract
It is investigated the likelihood inference for the time-varying parameter version of the popular Capital Asset Pricing Model when the error is a mixture of two normal distributions. The estimation of the parameters is carried out through an approximation of the likelihood based on a quadrature method.File in questo prodotto:
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