Multi-regime nonlinear capital asset pricing models
提出一个多机制阈值广义自回归条件异方差资本资产定价模型，通过市场信息驱动的机制离散变化捕捉市场贝塔的非对称风险，并验证了市场风险随市场变化的时变性及其在不同资产间的差异，对投资决策优化有参考价值。
A multiple-regime threshold generalized autoregressive conditionally heteroskedastic capital asset pricing model is introduced. The model captures asymmetric risk through allowing market beta to change discretely between regimes that are driven by market information. Asymmetric volatility and mean equation dynamics are also captured. We confirm the time-varying nature of market risk, in response to changes in the market, and that this discrete time variation can differ across assets. These findings could have important implications for optimizing investment decisions: e.g. in risk assessment, portfolio selection and hedging decisions.