Abstract
The authors test the conditional CAPM for the world's 8 largest equity markets using a parsimonious generalized autoregressive conditional heterskedasticity (GARCH) parameterization.
Volume
52:5
Page
1881-1912
Year
1996
Categories
Actuarial Applications and Methodologies
Investments
Asset/Liability Management (ALM);
Actuarial Applications and Methodologies
Investments
CAPM
Actuarial Applications and Methodologies
Investments
Portfolio Strategy
Financial and Statistical Methods
Asset and Econometric Modeling
Actuarial Applications and Methodologies
Valuation
Publications
Journal of Finance
