Clare, Andrew; O'Brien, Raymond; Smith, Peter; Thomas, … - In: Applied Economics Letters 3 (1996) 2, pp. 109-113
The mean variance efficiency (MVE) of a portfolio of international bonds and equities is tested using a CAPM model of excess returns. The conditional variances and covariances of the portfolio returns are allowed to time-vary according to shocks in up to three global macro-economic variables...