Can I read Conditional Asset Pricing Models Analysis on EtoBox?

Conditional Asset Pricing Models Analysis by Celso Nuñez is a document available to read on EtoBox.

What is Conditional Asset Pricing Models Analysis about?

This paper tests conditional capital asset pricing models in a multivariate GARCH framework using weekly data from 1983 to 1989. It estimates two specifications - one with constant prices of market and bond risk, and one allowing those prices to vary over time. It finds that depending on the definition of the market portfolio, either a one-factor model with a hedge portfolio or a two-factor model are supported. Interest rate risk is found to be highly significant. This suggests previous rejections of condit

Author

Celso Nuñez

Language

EN