Assistant Professor, Department of Finance, University of Texas at Austin. This paper is based on part of my dissertation at the Wharton School, University of Pennsylvania. I am very grateful to Simon Benninga, Yin-Wong Cheung, Campbell Harvey, Robert Litzenberger (Main Advisor), Craig MacKinlay, Krishna Ramaswamy, Robert Stambaugh, Rex Thompson, Seha Tinic, the editor Ren M. Stulz, and two anonymous referees for their helpful comments.
Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach
Version of Record online: 30 APR 2012
© 1991 the American Finance Association
The Journal of Finance
Volume 46, Issue 4, pages 1507–1521, September 1991
How to Cite
NG, L. (1991), Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach. The Journal of Finance, 46: 1507–1521. doi: 10.1111/j.1540-6261.1991.tb04628.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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