A Capital Asset Pricing Model with Time-Varying Covariances

@article{Bollerslev1988ACA,
  title={A Capital Asset Pricing Model with Time-Varying Covariances},
  author={Tim Bollerslev and R. Engle and J. Wooldridge},
  journal={Journal of Political Economy},
  year={1988},
  volume={96},
  pages={116 - 131}
}
The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induce risk-averse investors to bear risk is proportional to the nondiversifiable risk, which is measured by the covariance of the asset return with the market portfolio return. In this paper a multivariate generalized autoregressive conditional heteroscedastic process is estimated for returns to bills, bonds, and stock where the expected return is proportional to… Expand
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