Mumo Samuel (15 results)
- Softcover
Seller: PBShop.store US, Wood Dale, IL, U.S.A.PBShop.store US
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PAP. Condition: New. New Book. Shipped from UK. Established seller since 2000.
- Softcover
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- Softcover
Seller: Revaluation Books, Exeter, United KingdomRevaluation Books
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Paperback. Condition: Brand New. 56 pages. 8.66x5.91x0.13 inches. In Stock.
Language: English
Published by LAP LAMBERT Academic Publishing Jan 2019, 2019
- Softcover
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
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Taschenbuch. Condition: Neu. Neuware -There has been a lot of research on the validity of the CAPM in the Nairobi Securities Exchange. Majorly, the findings are mixed. Most of the previous tests of the CAPM were based on the CLRM, which assumes that variances are homoscedastic, among other assumptions. This book examines this as…sumption and its effect on the quality of the beta estimate of the CAPM. In the CLRM, beta is a point estimate of the covariance between the market return and the return of a particular asset. It is, therefore, a constant. When heteroscedasticity is factored in, variances vary with time, hence beta varies with time as well. Several econometric models have been proposed to model time-varying betas. The most common model is the GARCH model, which forms the basis of this book. The data used for analysis here is first tested for 'ARCH effects' to determine whether the GARCH model can be used to estimate it. The test shows that models of the ARCH type can be fitted on the data. A multivariate GARCH model of the Diagonal BEKK type is then fitted on the monthly returns of the 20 companies that form the NSE 20-share index from 1St January 2013 to 31st December 2016. 56 pp. Englisch.
- Softcover
Seller: Books Puddle, New York, NY, U.S.A.Books Puddle
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Language: English
Published by LAP LAMBERT Academic Publishing Jan 2019, 2019
- Softcover
Seller: Wegmann1855, Zwiesel, GermanyWegmann1855
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Taschenbuch. Condition: Neu. Neuware -There has been a lot of research on the validity of the CAPM in the Nairobi Securities Exchange. Majorly, the findings are mixed. Most of the previous tests of the CAPM were based on the CLRM, which assumes that variances are homoscedastic, among other assumptions. This book examines this as…sumption and its effect on the quality of the beta estimate of the CAPM. In the CLRM, beta is a point estimate of the covariance between the market return and the return of a particular asset. It is, therefore, a constant. When heteroscedasticity is factored in, variances vary with time, hence beta varies with time as well. Several econometric models have been proposed to model time-varying betas. The most common model is the GARCH model, which forms the basis of this book. The data used for analysis here is first tested for 'ARCH effects' to determine whether the GARCH model can be used to estimate it. The test shows that models of the ARCH type can be fitted on the data. A multivariate GARCH model of the Diagonal BEKK type is then fitted on the monthly returns of the 20 companies that form the NSE 20-share index from 1St January 2013 to 31st December 2016.
- Softcover
Seller: Revaluation Books, Exeter, United KingdomRevaluation Books
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Paperback. Condition: Brand New. 56 pages. 8.66x5.91x0.13 inches. In Stock.
- Softcover
Seller: preigu, Osnabrück, Germanypreigu
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Taschenbuch. Condition: Neu. The effect of time-varying Beta on the validity of the CAPM at the NSE | Samuel Mumo | Taschenbuch | 56 S. | Englisch | 2019 | LAP LAMBERT Academic Publishing | EAN 9786139445059 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de… | Anbieter: preigu.
Language: English
Published by LAP LAMBERT Academic Publishing Jan 2019, 2019
- Softcover
Seller: Books-by-Floh, Paderborn, GermanyBooks-by-Floh
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Taschenbuch. Condition: Neu. Neuware -There has been a lot of research on the validity of the CAPM in the Nairobi Securities Exchange. Majorly, the findings are mixed. Most of the previous tests of the CAPM were based on the CLRM, which assumes that variances are homoscedastic, among other assumptions. This book examines this as…sumption and its effect on the quality of the beta estimate of the CAPM. In the CLRM, beta is a point estimate of the covariance between the market return and the return of a particular asset. It is, therefore, a constant. When heteroscedasticity is factored in, variances vary with time, hence beta varies with time as well. Several econometric models have been proposed to model time-varying betas. The most common model is the GARCH model, which forms the basis of this book. The data used for analysis here is first tested for 'ARCH effects' to determine whether the GARCH model can be used to estimate it. The test shows that models of the ARCH type can be fitted on the data. A multivariate GARCH model of the Diagonal BEKK type is then fitted on the monthly returns of the 20 companies that form the NSE 20-share index from 1St January 2013 to 31st December 2016. 56 pp. Englisch.
Language: English
Published by LAP LAMBERT Academic Publishing Jan 2019, 2019
- Softcover
- Print on Demand
Seller: Rheinberg-Buch Andreas Meier eK, Bergisch Gladbach, GermanyRheinberg-Buch Andreas Meier eK
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -There has been a lot of research on the validity of the CAPM in the Nairobi Securities Exchange. Majorly, the findings are mixed. Most of the previous tests of the CAPM were based on the CLRM, which assumes that variances are homosc…edastic, among other assumptions. This book examines this assumption and its effect on the quality of the beta estimate of the CAPM. In the CLRM, beta is a point estimate of the covariance between the market return and the return of a particular asset. It is, therefore, a constant. When heteroscedasticity is factored in, variances vary with time, hence beta varies with time as well. Several econometric models have been proposed to model time-varying betas. The most common model is the GARCH model, which forms the basis of this book. The data used for analysis here is first tested for 'ARCH effects' to determine whether the GARCH model can be used to estimate it. The test shows that models of the ARCH type can be fitted on the data. A multivariate GARCH model of the Diagonal BEKK type is then fitted on the monthly returns of the 20 companies that form the NSE 20-share index from 1St January 2013 to 31st December 2016. 56 pp. Englisch.
- Softcover
- Print on Demand
Seller: Majestic Books, Hounslow, United KingdomMajestic Books
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- Softcover
- Print on Demand
Seller: Biblios, frankfurt am main, HESSE, GermanyBiblios
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- Softcover
- Print on Demand
Seller: moluna, Greven, Germanymoluna
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Mumo SamuelSamuel Musyoka Mumo is currently a Ph.D. student and the Jomo Kenyatta University of Science and Technology. He his a former University of Nairobi student (MSC Finance) and Dedan Kimathi Univ…ersity of Technology (BSC Actua.
Language: English
Published by LAP LAMBERT Academic Publishing Jan 2019, 2019
- Softcover
- Print on Demand
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germanybuchversandmimpf2000
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -There has been a lot of research on the validity of the CAPM in the Nairobi Securities Exchange. Majorly, the findings are mixed. Most of the previous tests of the CAPM were based on the CLRM, which assumes that variances are homoscedas…tic, among other assumptions. This book examines this assumption and its effect on the quality of the beta estimate of the CAPM. In the CLRM, beta is a point estimate of the covariance between the market return and the return of a particular asset. It is, therefore, a constant. When heteroscedasticity is factored in, variances vary with time, hence beta varies with time as well. Several econometric models have been proposed to model time-varying betas. The most common model is the GARCH model, which forms the basis of this book. The data used for analysis here is first tested for 'ARCH effects' to determine whether the GARCH model can be used to estimate it. The test shows that models of the ARCH type can be fitted on the data. A multivariate GARCH model of the Diagonal BEKK type is then fitted on the monthly returns of the 20 companies that form the NSE 20-share index from 1St January 2013 to 31st December 2016.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 56 pp. Englisch.
- Softcover
- Print on Demand
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
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£ 35.63
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - There has been a lot of research on the validity of the CAPM in the Nairobi Securities Exchange. Majorly, the findings are mixed. Most of the previous tests of the CAPM were based on the CLRM, which assumes that variances are homoscedast…ic, among other assumptions. This book examines this assumption and its effect on the quality of the beta estimate of the CAPM. In the CLRM, beta is a point estimate of the covariance between the market return and the return of a particular asset. It is, therefore, a constant. When heteroscedasticity is factored in, variances vary with time, hence beta varies with time as well. Several econometric models have been proposed to model time-varying betas. The most common model is the GARCH model, which forms the basis of this book. The data used for analysis here is first tested for 'ARCH effects' to determine whether the GARCH model can be used to estimate it. The test shows that models of the ARCH type can be fitted on the data. A multivariate GARCH model of the Diagonal BEKK type is then fitted on the monthly returns of the 20 companies that form the NSE 20-share index from 1St January 2013 to 31st December 2016.
