Testing the Capital Asset Pricing Model using the Kalman Filter: Empirical Evidence from the Mexican Stock Market
The Capital Asset Pricing Model (CAPM) widely used for the valuation of financial assets may have periods of low expla- nation (low R-square). For those periods, the factor models have a low confidence. The Kalman filter is able to sort out the noise that often have the data, such as the high volati...
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Detalles Bibliográficos
| Autores: |
Samaniego-Alcántar, Ángel,
Casillas-Aceves, Santiago A. |
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| Tipo de recurso: | capítulo de libro
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| Estado: | Versión publicada |
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| Fecha de publicación: | 2018 |
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| País: | México |
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| Institución: | Instituto Tecnológico y de Estudios Superiores de Occidente |
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| Repositorio: | Repositorio Institucional del ITESO |
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| Idioma: | inglés |
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| OAI Identifier: | oai:rei.iteso.mx:11117/5325 |
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| Acceso en línea: | http://hdl.handle.net/11117/5325
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| Access Level: | acceso abierto |
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| Palabra clave: | CAPM; Kalman Filter; Factor Model; Asset Pricing |
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