Multi-factor asset-pricing models under Markov regime switches : evidence from the Chinese stock market
Year of publication: |
June 2018
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Authors: | Chen, Jieting ; Kawaguchi, Yuichiro |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 6.2018, 2, p. 1-19
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Subject: | Markov regime-switching | anomaly | Chinese stock market | risk-return relationship | Aktienmarkt | Stock market | Markov-Kette | Markov chain | China | Kapitaleinkommen | Capital income | CAPM | Schätzung | Estimation | ARCH-Modell | ARCH model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs6020054 [DOI] hdl:10419/195705 [Handle] |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; C32 - Time-Series Models ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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