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Octavio Portolano Machado,Adriana Bruscato Bortoluzzo,Sérgio Ricardo Martins,Antonio Zoratto Sanvicente
Pág. 149 - 180
This paper examines the empirical validity of the Inter-temporal Capital Asset Pricing Model (ICAPM) with Brazilian market data. The Bali and Engle (2010) methodology is used with the estimation of conditional covariances between stock portfolio returns ...
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