The intertemporal capital asset pricing model with dynamic conditional correlations
By Turan G. Bali, Robert F. Engle. 2010
248 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/bd809348482b886909e6803d44097e659317e1df
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Turan G. Bali
- M. O. Caglayan
- Stephen J. Brown
- Hao Zhou
- Marco Rocco
- Tim Bollerslev
- Yi Tang
- V. Todorov
Citations in the corpus
- Dynamic Conditional Beta (2016, unknown): “In Bali and Engle(2012) this empirical model is challenged to explain cross sectional returns in a one factor dynamic model.”
- Multifactor models and their consistency with the ICAPM (2012, unknown): “…ICAPM over the cross-section of stock returns includes Shanken (1990), Brennan, Wang, and Xia (2004), Ang, Hodrick, Xing, and Zhang (2006), Gerard and Wu (2006), Hahn and Lee (2006), Lo and Wang (2006), Petkova (2006), Bali (2008), Guo and Savickas (2008), Ozoguz (2009), and Bali and Engle (2010).”
- Risk, Uncertainty, and Expected Returns (2011, methodology): “Following Bali (2008) and Bali and Engle (2010), our estimation approach proceeds in steps: 1.”
- Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “Indeed, studies that have documented a positive risk return tradeoff in the time series have typically relied on the use of mixed frequency data (see Ghysels, SantaClara, and Valkanov (2005)), cross-sectional approaches (see Guo and Whitelaw (2006), Bali and Engle (2010)), or very long historical da”
- Macroeconomic Risk and Hedge Fund Returns (2014, background): “…returns and covariances makes 12 it natural to include time-varying parameters directly in the analysis (see Bali (2008) and Bali and Engle (2010)): tttittmtitti XRBRRARE |,cov|,cov| 11,1,1,1, , (10) where 1, tiR and 1, tmR are, respectively, the return on risky asset i and the…”
- Predictability of Currency Carry Trades and Asset Pricing Implications (2013, unknown): “, Bali and Engle, 2010). Finally, more work could be done on examining whether information extracted from currency derivatives (straddles, risk reversals, or strangle margins), which have been found to be related to risk premiums in Bakshi, Carr, and Wu (2008), could help predict carry trade payoffs”
- Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, unknown): “Since default spread is high in recessions, hedge funds with higher exposure to default premium are expected to generate higher returns (see Bali, 2008; Bali and Engle, 2010).”