Saleem, Kashif; Vaihekoski, Mika - Volkswirtschaftliche Fakultät, … - 2007
In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by...
