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Capital assest pricing model 1 Time-varying convariances 1
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Bollerslev, T. 1 Engle, Robert F. 1 Wooldridge, Jeffrey M. 1
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Did you mean: subject:"Time-varying covariances" (5 results)
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A Capital Asset Pricing Model with Time Varying Covariances
Bollerslev, T.; Engle, Robert F.; Wooldridge, Jeffrey M. - 1988
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...
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