Testing the CAPM for the Brazilian stock market using multivariate GARCH between 1995 and 2012
Year of publication: |
2013
|
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Authors: | Godeiro, Lucas Lúcio ; Silva, Cesar R. da ; Rodrigues, Fábio Lúcio |
Published in: |
Journal of finance and investment analysis. - Christchurch, New Zealand : Scientific Press International Limited, ISSN 2241-0996, ZDB-ID 2655150-0. - Vol. 2.2013, 2, p. 15-39
|
Subject: | CAPM | multivariate GARCH | dynamic betas | ARCH-Modell | ARCH model | Brasilien | Brazil | Aktienmarkt | Stock market | Betafaktor | Beta risk | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Kapitaleinkommen | Capital income |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Classification: | G12 - Asset Pricing ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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