Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
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- Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
References listed on IDEAS
- Obstfeld, Maurice, 1981.
"Capital Mobility and Devaluation in an Optimizing Model with Rational Expectations,"
American Economic Review,
American Economic Association, vol. 71(2), pages 217-221, May.
- Maurice Obstfeld, 1980. "Capital Mobility and Devaluation in an Optimizing Model with Rational Expectations," NBER Working Papers 0557, National Bureau of Economic Research, Inc.
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