Original paper
The effect of time-varying covariances on asset risk premia
Volume: 7, Issue: 2, Pages: 205 - 220
Published: Sep 1, 1996
Abstract
In this article we examine an intertemporal capital asset pricing model (CAPM) that allows for time-varying conditional covariances that are assumed to follow a multivariate integrated generalized autoregressive conditional heteroscedastic (IGARCH) process. The resulting pricing equation includes idiosyncratic risk premia in addition to the usual market beta. Empirical analysis based on ten size and ten industry portfolios reveals significant...
Paper Details
Title
The effect of time-varying covariances on asset risk premia
Published Date
Sep 1, 1996
Volume
7
Issue
2
Pages
205 - 220
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