Bali, Turan G.; Engle, Robert F. - In: Journal of Monetary Economics 57 (2010) 4, pp. 377-390
The intertemporal capital asset pricing model of Merton (1973) is examined using the dynamic conditional correlation (DCC) model of Engle (2002). The mean-reverting DCC model is used to estimate a stock's (portfolio's) conditional covariance with the market and test whether the conditional...