Global macroeconomic shocks, time-varying covariances and tests of the international CAPM
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DOI: 10.1080/135048596356816
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References listed on IDEAS
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Cited by:
- Charles M. Engel, 1994.
"Tests of CAPM on an International Portfolio of Bonds and Stocks,"
NBER Chapters, in: The Internationalization of Equity Markets, pages 149-183,
National Bureau of Economic Research, Inc.
- Charles Engel, 1993. "Tests of CAPM on an International Portfolio of Bonds and Stocks," NBER Working Papers 4598, National Bureau of Economic Research, Inc.
- Azamat Abdymomunov & James Morley, 2011. "Time variation of CAPM betas across market volatility regimes," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1463-1478.
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