The Evolution of Risk Premium as a Measure for Intra-regional Equity Market Integration

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 a

MoreLess

Year of publication:	2014-06-23
Authors:	Guesmi, Khaled ; Teulon, Frederic ; Muzaffar, Ahmed Taneem
Institutions:	Institut de Préparation à l'Administration et à la Gestion (IPAG)
Subject:	time-varying integration \| risk premium \| ICAPM \| multivariate GARCH

More details

Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-365 21 pages
Classification:	C32 - Time-Series Models ; F36 - Financial Aspects of Economic Integration ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010784880