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The effect of time-varying covariances on asset risk premia

https://doi.org/10.1007/bf00243979
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0165-1765(90)90163-uopenalex-snapshot
Testing for covariance stationarity in stock market data
inferredcites →https://doi.org/10.1016/0261-5606(82)90019-5openalex-snapshot
In search of the exchange risk premium: A six-currency test assuming mean-variance optimization
inferredcites →https://doi.org/10.1016/0304-405x(80)90007-0openalex-snapshot
On estimating the expected return on the market
inferredcites →https://doi.org/10.1016/0304-405x(83)90045-4openalex-snapshot
An explicit bound on individual assets' deviations from APT pricing in a finite economy
inferredcites →https://doi.org/10.1016/0304-405x(83)90046-6openalex-snapshot
Factor pricing in a finite economy
inferredcites →https://doi.org/10.1016/0304-405x(87)90026-2openalex-snapshot
Expected stock returns and volatility
inferredcites →https://doi.org/10.1016/0304-405x(88)90074-8openalex-snapshot
Time-varying betas and risk premia in the pricing of forward foreign exchange contracts
inferredcites →https://doi.org/10.1016/0304-405x(89)90049-4openalex-snapshot
Time-varying conditional covariances in tests of asset pricing models
inferredcites →https://doi.org/10.1016/0304-4076(90)90094-aopenalex-snapshot
Residual risk revisited
inferredcites →https://doi.org/10.1016/0304-4076(90)90101-xopenalex-snapshot
Alternative models for conditional stock volatility
inferredcites →https://doi.org/10.1016/1042-9573(90)90008-4openalex-snapshot
Managerial incentives in an entrepreneurial stock market model
inferredcites →https://doi.org/10.1016/b978-0-12-780850-5.50018-6openalex-snapshot
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation,…
inferredcites →https://doi.org/10.1080/07350015.1992.10509902openalex-snapshot
Inequality Constraints in the Univariate GARCH Model
inferredcites →https://doi.org/10.1080/07474938608800095openalex-snapshot
Modelling the persistence of conditional variances
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/261365openalex-snapshot
Risk, Return, and Equilibrium: A Revisit
inferredcites →https://doi.org/10.1086/261527openalex-snapshot
A Capital Asset Pricing Model with Time-Varying Covariances
inferredcites →https://doi.org/10.1093/rfs/5.1.1openalex-snapshot
On the Estimation of Beta-Pricing Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-snapshot
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02564.xopenalex-snapshot
Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02628.xopenalex-snapshot
Temporal Aggregation and the Continuous-Time Capital Asset Pricing Model
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb05056.xopenalex-snapshot
Empirical Tests of the Consumption‐Oriented CAPM
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb05059.xopenalex-snapshot
The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb04627.xopenalex-snapshot
Testing the CAPM with Time-Varying Risks and Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb04628.xopenalex-snapshot
Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1214/aos/1176345632openalex-snapshot
Estimation of the Mean of a Multivariate Normal Distribution
inferredcites →https://doi.org/10.1257/aer.100.1.iopenalex-snapshot
The American Economic Review
inferredcites →https://doi.org/10.2307/1913811openalex-snapshot
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2307/1913837openalex-snapshot
Asset Prices in an Exchange Economy
inferredcites →https://doi.org/10.2307/1924119openalex-snapshot
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.2307/3003264openalex-snapshot
The Valuation of Uncertain Income Streams and the Pricing of Options

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2833056openalex-extracted
Biases in CAPM Beta Estimation
inferred← citeshttps://doi.org/10.1007/s11156-017-0676-3openalex-snapshot
Stock market return predictability: Does network topology matter?
inferred← citeshttps://doi.org/10.1016/s0927-0507(05)80049-0openalex-snapshot
Chapter 5 Theory and empirical testing of asset pricing models
inferred← citeshttps://doi.org/10.12660/rbfin.v11n2.2013.4049openalex-snapshot
CAPM Intertemporal: um teste empírico utilizando dados brasileiros
inferred← citeshttps://doi.org/10.1371/journal.pone.0320799openalex-snapshot
The dependency structure of the financial multiplex network model: New evidence from the cross-correlation of idiosyncratic returns, volatility, and trading volume
inferred← citeshttps://doi.org/10.58837/chula.the.2017.188openalex-snapshot
Asset pricing and network topology
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