Jahan-Parvar, Mohammad R.; Mohammadi, Hassan - In: The Quarterly Review of Economics and Finance 53 (2013) 3, pp. 238-256
This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of...
