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ArticleThe intertemporal capital asset pricing model with dynamic conditional correlations

Turan G. Bali2010

Article2010

The intertemporal capital asset pricing model with dynamic conditional correlations

Turan G. Bali · Robert F. Engle

259 citations·0/0 files stored·Journal of Monetary Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation

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Year2010

Typearticle

Published2010-04-12

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations259

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmoneco.2010.03.002

openalex_workW2146550845

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