Tests of the CAPM with time-varying covariances : a multivariate GARCH approach
Year of publication: |
1991
|
---|---|
Authors: | Ng, Lilian K. |
Published in: |
The journal of finance : the journal of the American Finance Association. - Hoboken, NJ [u.a.] : Wiley, ISSN 0022-1082, ZDB-ID 218191-5. - Vol. 46.1991, 4, p. 1507-1521
|
Subject: | CAPM | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Theorie | Theory | USA | United States | 1926-1987 |
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