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资本资产定价模型的MS-VAR广义脉冲响应函数分析

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摘要 通过运用MS-VAR模型分析资本资产定价模型在不同状态下的表现,应用bootstrap仿真实验检验模型系数的显著性,依据状态相依广义脉冲响应函数简化解释MS-VAR模型变量之间的关系。文章能准确捕捉市场组合收益和单个股票收益之状态转换的时点,并且可以明确地确定两种状态:牛市和熊市。在这两种状态下,资本资产定价模型表现出非对称性和非线性。
作者 项云帆
出处 《煤炭经济研究》 2010年第10期36-40,共5页 Coal Economic Research
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