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
收藏
页码：22 / 27
页数：6
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