Asset pricing with a factor-ARCH covariance structure : empirical estimates for treasury bills

Robert F. Engle ; Victor K. Ng ; Michael Rothschild

Year of publication:	1990
Authors:	Engle, Robert F.
Other Persons:	Ng, Victor K. (contributor) ; Rothschild, Michael (contributor)
Published in:	Journal of econometrics. - Amsterdam : North-Holland Publ. Co., ZDB-ID 879665-8. - Vol. 45.1990, 1, p. 213-237
Subject:	CAPM \| Öffentliche Anleihe \| Public bond \| USA \| United States

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