International Asset Pricing, Currency Risk and Integration of Markets
This study attempts to test the conditional version of the international asset-pricing model proposed in Bayraktar (2000, 2009) by using a parsimonious multivariate GARCH process. The theoretical model, contrary to previous empirical studies that have used random selection of currency risks, dete...
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| Format: | Article |
| Language: | English |
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Ala-Too International University
2014-11-01
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| Series: | Eurasian Journal of Business and Economics |
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| Online Access: | http://www.ejbe.org/EJBE2014Vol07No14p109BAYRAKTAR.pdf |