Conditional CAPM and Time - Varying Correlation : An Application of Multivariate GARCH-M Model

Korean Journal of Financial Studies 1998;23(1):61-88.
Published online September 30, 1998.

다변량 GARCH-M 모형을 이용한 조건부 CAPM 의 검증과 시간가변적 상관관계에 관한 연구

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