Nanisetty, Prasad; Bharati, Rakesh; Gupta, Monoj - In: Review of Quantitative Finance and Accounting 7 (1996) 2, pp. 205-20
In this article we examine an intertemporal capital asset pricing model (CAPM) that allows for time-varying conditional covariances that are assumed to follow a multivariate integrated generalized autoregressive conditional heteroscedastic (IGARCH) process. The resulting pricing equation...
