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The \u2018betas\u2019 in our CAPM vary over time as the supplies of assets change and as the conditional covariances or returns on those assets change. We let the covariances change over time as a function of macroeconomic data, and an alternative model allows the covariances to follow a multivariate ARCH process. We also can identify a modified CAPM model with measurement error. We find that the estimated CAPM performs much better when variances are not constant over time. Nonetheless, CAPM is rejected in favour of the lessrestricted model of asset pricing.<\/jats:p>","DOI":"10.1002\/jae.3950040203","type":"journal-article","created":{"date-parts":[[2007,7,12]],"date-time":"2007-07-12T14:50:38Z","timestamp":1184251838000},"page":"119-138","source":"Crossref","is-referenced-by-count":89,"title":["Tests of international CAPM with time\u2010varying covariances"],"prefix":"10.1002","volume":"4","author":[{"given":"Charles","family":"Engel","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Anthony P.","family":"Rodrigues","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2006,8,8]]},"reference":[{"key":"e_1_2_1_2_1","unstructured":"Attanasio O.andM. 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