A dynamic conditional regime-switching GARCH CAPM for energy and financial markets

Christian Urom, Julien Chevallier and Bangzhu Zhu
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Christian Urom: LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis
Julien Chevallier: LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis

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Date: 2020-01
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Published in Energy Economics, 2020, 85, pp.104577. ⟨10.1016/j.eneco.2019.104577⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-04250225

DOI: 10.1016/j.eneco.2019.104577

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