Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach
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More about this item
Keywords
CAPM; Time Varying Beta; Seemingly Unrelated Regression (SUR); multivariate GARCH;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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