Antell, Jan; Vaihekoski, Mika - Turun Kauppakorkeakoulu, Turun Yliopisto - 2011
multivariate GARCH-M setup to test a conditional international asset pricing model. Using a sample period from 1970 to 2009, we … not vice versa. Finally, we discuss some of the potential issues in applying multivariate GARCH-M specifications in tests …