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Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts
FEARNLEY, Tom A. - Swiss Finance Institute - 2002
The paper tests a conditional multivariate International Capital Asset Pricing Model for US, Japanese and European stocks and government bonds, covering the period 1993-2001. Time variation in the prices of market and currency risk is modelled by means of synchronous regime switching. The paper...
Persistent link: https://www.econbiz.de/10005612059
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Non-falsified expectations and general equilibrium asset pricing : the power of the peso
Danthine, Jean-Pierre; Donaldson, John B. - In: The economic journal : the journal of the Royal … 109 (1999), pp. 607-635
Persistent link: https://www.econbiz.de/10001433075
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The equity premium and the allocation of income risk
Danthine, Jean-Pierre; Mehra, Rajnish; Donaldson, John B. - 1992
Persistent link: https://www.econbiz.de/10000835816
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The equity premium and the allocation of income risk
Danthine, Jean-Pierre; Donaldson, John B.; Mehra, Rajnish - 1992
Persistent link: https://www.econbiz.de/10000841102
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Asset pricing implications of real market frictions
Danthine, Jean-Pierre; Donaldson, John B. - 1994 - First draft, Febr. 1994
Persistent link: https://www.econbiz.de/10000921275
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Asset pricing implications of real market frictions
Danthine, Jean-Pierre; Donaldson, John B. - 1994
Persistent link: https://www.econbiz.de/10000912494
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Non-falsified expectations and general equilibrium asset pricing : the power of the peso
Danthine, Jean-Pierre; Donaldson, John B. - 1997
Persistent link: https://www.econbiz.de/10000982370
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Non-falsified expectations, general equilibrium asset pricing and the peso problem
Danthine, Jean-Pierre; Donaldson, John B. - 1996
Persistent link: https://www.econbiz.de/10000948215
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Non-falsified expectations, general equilibrium asset pricing, and the peso problem
Danthine, Jean-Pierre; Donaldson, John B. - 1996
Persistent link: https://www.econbiz.de/10000954636