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Keywords: International asset pricing
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2018) 44 (12): 1434–1445.
Published: 06 November 2018
... , t | Ω t − 1 ) . Diversification Asymmetric multivariate GARCH-M International asset pricing The international classical asset pricing model (ICAPM), based on traditional portfolio theory developed by Sharpe (1964) , Lintner (1965) and Mossin (1966) predicts...
