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pro vyhledávání: '"Andre Oliveira Santos"'
Autor:
Andre Oliveira Santos
Publikováno v:
IMF Working Papers. 19:1
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::62a881ef96d74558eb2a3a7c5d0a1bba
https://doi.org/10.5089/9781498312080.001
https://doi.org/10.5089/9781498312080.001
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::21bc4e5bc93be4f983ec2a6ee08f0a2a
https://doi.org/10.2139/ssrn.2164587
https://doi.org/10.2139/ssrn.2164587
Autor:
Andre Oliveira SANTOS
This article applies regime-switching models to assess the effects of different regimes of volatility in asset pricing. Different variance-covariance matrices for different regimes of volatility are introduced in the Capital Asset Pricing Model. They
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::f589b5b1d82d8aaa3c1e72f9260d880a
http://www.swissfinanceinstitute.ch/rp4.pdf
http://www.swissfinanceinstitute.ch/rp4.pdf
