Now showing items 1-1 of 1

    • An Intertemporal CAPM with Stochastic Volatility 

      Campbell, John Y.; Giglio, Stefano; Polk, Christopher; Turley, Robert Staffan (2012)
      This paper extends the approximate closed-form intertemporal capital asset pricing model of Campbell (1993) to allow for stochastic volatility. The return on the aggregate stock market is modeled as one element of a vector ...