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dc.contributor.authorRoengchai Tansuchaten_US
dc.contributor.authorSukrit Thongkairaten_US
dc.contributor.authorWoraphon Yamakaen_US
dc.contributor.authorSongsak Sriboonchittaen_US
dc.description.abstract© 2018, Springer International Publishing AG. The objectives of this study are to analyze the risk of investment and to examine the structural change in the CAPM. To there ends, the Markov Switching dynamic regression is employed to construct the time varying beta risk when the market exhibits structural change. The model is applied to the Thai stock return data. The empirical results show a strong evidence of structural change in CAPM for four out of five Thai stocks of large market capitalization. We observe that the movement of Thai stocks fluctuated widely during the market turbulence, especially at the time of Thai financial crisis.en_US
dc.subjectComputer Scienceen_US
dc.titleTime-varying beta estimation in CAPM under the regime-switching Modelen_US
dc.typeBook Seriesen_US
article.title.sourcetitleStudies in Computational Intelligenceen_US
article.volume760en_US Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

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