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A Cross-Sectional Investigation of the Conditional ICAPM

Engle, Robert et al.
NYU Faculty Digital Archive · Papers
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multidisciplinary
This paper provides a cross-sectional investigation of the conditional and unconditional intertemporal capital asset pricing model (ICAPM). The results indicate that estimating the conditional ICAPM with a pooled panel of time series and cross-sectional data in a multivariate GARCH-in-mean framewor
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