Title :
Notice of Retraction
Bayesian dynamic linear model on time-varying CAPM with panel data methods
Author_Institution :
Econ. & Manage. Sch., China Univ. of Geosci., Wuhan, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Dynamic and time-varying of Beta in capital asset pricing model is analysis using Bayesian dynamic linear model and panel data methods. The variance matrix of both measure equation and state equation were considered as unknown and markov chain monte carlo and gibbs sampling technology were used to simulate and estimate. The results estimated with smooth filter indicated that volatility of commercial banks´ stock prices was lower than those of non-commercial bank financial institutes. The value of time-varying beta is positive in up market and negative in downside market in most of periods with zero mean value.
Keywords :
Bayes methods; Markov processes; Monte Carlo methods; covariance matrices; pricing; sampling methods; Bayesian dynamic linear model; Gibbs sampling technology; Markov chain Monte Carlo; capital asset pricing model; commercial bank stock prices; panel data method; stock price volatility; time-varying CAPM; time-varying beta; variance matrix; Analytical models; Bayesian methods; Data models; Estimation; Filtering; Pricing; Smoothing methods; Bayesian; CAPM; Dynamic linear model; Gibbs sampling; MCMC; Panel data;
Conference_Titel :
Natural Computation (ICNC), 2011 Seventh International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-9950-2
DOI :
10.1109/ICNC.2011.6022300
