Capital Asset Pricing Model Using Copula Based SUR for Interval-Valued Energy Index

被引：0

作者：

Tansuchat, Roengchai ^{[1
]}

机构：

[1] Chiang Mai Univ, Fac Econ, Ctr Excellence Econometr, Chiang Mai, Thailand

来源：

2018 4TH INTERNATIONAL CONFERENCE ON INFORMATION MANAGEMENT (ICIM2018) | 2018年

关键词：

CAPM; Energy Index; Interval Value Data; Copula based SUR; REGRESSION; OIL;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

The objective of this paper is to analyze risk, return and dependency of energy index based in CAPM with copula based Seemingly Unrelated Regression (SUR) model and convex combination interval-valued data. The data are daily maximum and minimum of MSCI US, UK and EU energy index start from Feb 12, 2001 to Dec 22, 2017 for a total of 4,404 observations. The results show that Gaussian is the most appropriate copula family for data with proper distribution of each CAPM equation is student-t. The copula dependency between EU-UK is positive and high value (0.7392) while EU-US and UK-US are positive and low value (0.0803 and 0.036, respectively). The beta risk of EU and UK is high 0.8 while of US is 1.05.

引用

页码：22 / 27

页数：6

共 15 条

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