Poghosyan, Tigran; Kocenda, Evzen - William Davidson Institute, University of Michigan - 2007
stochastic discount factor (SDF) approach and a multivariate GARCH-in-mean model. We find that in post-transition economies real …,
multivariate GARCH-in-mean, post-transition and emerging markets
JEL CLASSIFICATION: C22, F31, G15, P59
We acknowledge helpful … Methodology and Data
4.1 Multivariate GARCH-in-mean model
Our aim is to model the distribution of the excess return in the …