Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.1993.tb00080.x/fullpdf
Reference6 articles.
1. Empirical Test of the Consumption-Oriented CAPM
2. Time-varying conditional covariances in tests of asset pricing models
3. R. C. Merton(1990 ): Continuous-Time Finance. Cambridge, MA: Basil Blackwell, chap. 15 .
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