A Capital Asset Pricing Model with Time-Varying Covariances

Tim Bollerslev; Robert F. Engle; Jeffrey M. Wooldridge

doi:10.1086/261527

A Capital Asset Pricing Model with Time-Varying Covariances

Journal of Political Economy ◽

10.1086/261527 ◽

1988 ◽

Vol 96 (1) ◽

pp. 116-131 ◽

Cited By ~ 1689

Author(s):

Tim Bollerslev ◽

Robert F. Engle ◽

Jeffrey M. Wooldridge

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Time Varying ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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A two-phase approach to estimating time-varying parameters in the capital asset pricing model

Journal of Applied Statistics ◽

10.1080/02664760802443871 ◽

2008 ◽

Vol 36 (1) ◽

pp. 79-89 ◽

Cited By ~ 5

Author(s):

Yih Su ◽

Jing-Shiang Hwang

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Time Varying ◽

Pricing Model ◽

Capital Asset ◽

Two Phase ◽

Varying Parameters ◽

Asset Pricing Model ◽

Time Varying Parameters

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A capital asset pricing model with time-varying betas: some results from the London Stock Exchange

Economic Modelling at the Bank of England ◽

10.1007/978-94-009-0419-4_6 ◽

1990 ◽

pp. 167-185

Author(s):

S. G. Hall ◽

D. K. Miles ◽

M. P. Taylor

Keyword(s):

Asset Pricing ◽

Stock Exchange ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Time Varying ◽

Pricing Model ◽

Capital Asset ◽

London Stock Exchange ◽

Asset Pricing Model

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Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model

International Review of Financial Analysis ◽

10.1016/j.irfa.2019.05.002 ◽

2019 ◽

Vol 64 ◽

pp. 145-158 ◽

Cited By ~ 4

Author(s):

Stefano Grillini ◽

Aydin Ozkan ◽

Abhijit Sharma ◽

Mazin A.M. Al Janabi

Keyword(s):

Asset Pricing ◽

Markov Switching ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Time Varying ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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Capital asset pricing model: A time-varying volatility approach

Journal of Empirical Finance ◽

10.1016/j.jempfin.2016.01.014 ◽

2016 ◽

Vol 37 ◽

pp. 268-281 ◽

Cited By ~ 9

Author(s):

Kun Ho Kim ◽

Taejin Kim

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Time Varying ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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The Capital Asset Pricing Model and Market Microstructure

CFA Digest ◽

10.2469/dig.v29.n4.589 ◽

1999 ◽

Vol 29 (4) ◽

pp. 96-96

Author(s):

Frank T. Magiera

Keyword(s):

Asset Pricing ◽

Market Microstructure ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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Capital Asset Pricing Model und Alternativkalküle

10.1007/978-3-658-12025-2 ◽

2016 ◽

Author(s):

Raphael Stahl

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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The Capital Asset Pricing Model, A Fundamental Critique

SSRN Electronic Journal ◽

10.2139/ssrn.1612415 ◽

2010 ◽

Author(s):

Roger Dayala

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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Validity of Non-Standardized Form of Capital Asset Pricing Model in Pakistan

SSRN Electronic Journal ◽

10.2139/ssrn.1867877 ◽

2011 ◽

Cited By ~ 1

Author(s):

M.Irfan Khan ◽

Sarwat Afzal

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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Stochastic Portfolio Theory vs. Modern Portfolio Theory and the Implications for the Capital Asset Pricing Model

SSRN Electronic Journal ◽

10.2139/ssrn.2226985 ◽

2012 ◽

Author(s):

Robert Ferguson

Keyword(s):

Asset Pricing ◽

Portfolio Theory ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Modern Portfolio Theory ◽

Asset Pricing Model ◽

Stochastic Portfolio Theory

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Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds

SSRN Electronic Journal ◽

10.2139/ssrn.477465 ◽

2002 ◽

Cited By ~ 3

Author(s):

Tom Arild Fearnley

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

International Capital ◽

Capital Asset ◽

Government Bonds ◽

Asset Pricing Model

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