The return performance of cubic market model: An application to emerging markets

This article studies the performance of the high-order moment capital asset pricing model (CAPM) market models in emerging markets. We apply the cubic market model (4-moment CAPM) to 16 emerging market stock indices ranging from January 2010 to September 2015. Performance of the model is evaluated t...

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Detalles Bibliográficos
Autores Principales: Mora, A., Perote, J., Tobar, J.E.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
Materias:
GMM
Acceso en línea:http://hdl.handle.net/1992/46975