The intertemporal capital asset pricing model with dynamic conditional correlations

Journal of Monetary Economics

Volumn 57, Issue 4, 2010, Pages 377-390

  Bali, Turan G ^a   Engle, Robert F ^b  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

ARCH; Dynamic conditional correlation; ICAPM; Risk aversion; Risk factors

Indexed keywords

EID: 77952675199     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2010.03.002     Document Type: Article

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