ARFAOUI, Mongi; ABAOUB, Ezzeddine - In: Journal of Advanced Studies in Finance I (2010) 2, pp. 121-121
This paper aims to shed light on the determinants of systematic risk in the global macro-finance interface. We estimate a time-varying two-factor ICAPM, using weekly equity returns and Msci market-capitalisation weighted basket of foreign currencies. We follow a two-step estimation procedure; in...