A MULTIFACTOR REGIME SWITCHING MODEL FOR COUNTRY EXCHANGE-TRADED FUNDS
This thesis explores the returns of country exchange-traded funds (ETFs) with regime switching risk factors. Using the Bayesian information criterion, I select the model with six risk factors and three states among other models.The estimation results show that both the returns of country ETFs and th...
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| Language: | en |
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2011
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| Online Access: | http://hdl.handle.net/10222/14235 |