Guesmi, Khaled; Teulon, Frederic; Muzaffar, Ahmed Taneem - In: International Review of Financial Analysis 35 (2014) C, pp. 13-19
We estimate and test the conditional version of an international capital asset pricing model using a parsimonious multivariate GARCH process and the multivariate nonlinear least squares method. Since our approaches are fully parametric, we can recover any quantity that is a function of the first...