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The Evolution of Risk Premium as a Measure for Intra-regional Equity Market Integration

Khaled Guesmi, Frédéric Teulon and Ahmed Taneem Muzaffar

No 2014-365, Working Papers from Department of Research, Ipag Business School

Abstract: We estimate and test the conditional version of an international capital asset pricing model using a parsimonious multivariate GARCH process and the multivariate nonlinear least squares method. Since our approaches are fully parametric, we can recover a

Keywords: time-varying integration; risk premium; ICAPM; multivariate GARCH. (search for similar items in EconPapers)
JEL-codes: C32 F36 G11 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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