Asset pricing with a factor arch covariance structure : empirical estimates for treasury bills

Bibliographic Information

Asset pricing with a factor arch covariance structure : empirical estimates for treasury bills

Robert F. Engle, Victor Ng, Michael Rothschild

(NBER technical paper series, technical working paper no. 65)

National Bureau of Economic Research, 1988

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Details

  • NCID
    BA23078066
  • Country Code
    us
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    Cambridge, MA
  • Pages/Volumes
    31 p.
  • Size
    23 cm
  • Parent Bibliography ID
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