This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas were estimated and conditional betas...

In this paper, we propose a model based on multivariate decomposition of multiplicative—absolute values and signs—components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

This paper examines whether Asian emerging stock markets (India, Korea, Malaysia, Philippines, Taiwan, and Thailand) have become integrated into world capital markets since their official liberalization dates by estimating and testing a dynamic integrated international capital asset pricing...

Most of the Asian emerging stock markets started to liberalize their markets in 1990s. In this paper, I examine whether those markets have become integrated with world stock market since the 1990s by estimating and testing a dynamic version of international CAPM (ICAPM) in the absence of...

This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...

We provide an in-depth analysis of the theoretical properties of the Hansen-Jagannathan (HJ) distance that incorporates a no-arbitrage constraint. Under a multivariate elliptical distribution assumption, we present explicit expressions for the HJ-distance with a no-arbitrage constraint, the...

The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the form of the conditional covariance matrix. It contains one component describing the market and a second simple component to account for the remaining...

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the form of the conditional covariance matrix. It contains one component describing the market and a second simple component to account for the remaining...