Guidolin, Massimo (contributor); … - 2005
, x
i
t+1
= R
i
t+1
−R
f
t
(i =1,...,h)andtheworldportfolio,x
W
t+1
= R
W
t+1
−R
f
t
,
our model is
x
i
t+1
= α
i
S
t+1
+γ …
1,S
t+1
Cov[x
i
t+1
,x
W
t+1
|F
t
]+γ
2,S
t+1
Cov[x
i
t+1
,(x
W
t+1
)
2
|F
t
]+γ
3,S
t+1
Cov[x
i
t+1
,(x
W
t+1
)
3
|F
t …
]
+b
i
S
t+1
z
t
+η
i
t+1
x
W
t+1
= α
W
S
t+1
+γ
1,S
t+1
Var[x
W
t+1
|F
t
]+γ
2,S
t+1
Sk[x
W
t+1
|F
t
]+γ
3,S
t+1
K[x
W
t+1 …