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ArticleAn international CAPM for bonds and equities

S.H. Thoms1993

Article1993

An international CAPM for bonds and equities

32 citations·0/0 files stored·Journal of International Money and Finance

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

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988A Capital Asset Pricing Model with Time-Varying Covariances 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1986Modelling the persistence of conditional variances 1982On the exclusion of assets from tests of the two-parameter model 1988The statistical properties of daily foreign exchange rates: 1974–1983 1977The Exchange Rate And The Balance of Payments In The Short Run and in The Long Run: A Monetary Approach

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2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 2001International Portfolio Investment: Theory, Evidence, and Institutional Framework 1997A multivariate GARCH model of risk premia in foreign exchange markets 2003The empirical relationship between risk and return: evidence from the UK stock market 2000Regulation of the Warsaw Stock Exchange: The portfolio allocation problem

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1989The Time Variation of Risk and Return in the Foreign Exchange and Stock Marketsarticle · 9 shared references 1989Tests of international CAPM with time‐varying covariancesarticle · 9 shared references 1990Chapter 23 Monetary policy in the open economychapter · 9 shared references 1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 8 shared references 1991International asset pricing and equity market riskarticle · 7 shared references 1995Tests of conditional mean-variance efficiency of the U.S. stock marketarticle · 7 shared references

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Year1993

Typearticle

Published1993-08-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations32

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0261-5606(93)90003-t

openalex_workW2172194979

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2013An alternative explanation for the variation in reported estimates of risk aversion