Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications
Year of publication: |
1999
|
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Authors: | Hafner, Christian M. ; Herwartz, Helmut |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | impulse response analysis | Market price of risk | Multivariate GARCH-Models | CAPM |
Series: | SFB 373 Discussion Paper ; 1999,22 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 72218087X [GVK] hdl:10419/61747 [Handle] RePEc:zbw:sfb373:199922 [RePEc] |
Source: |
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