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A Capital-Asset Pricing Model with Time-varying Covariances

Tim Bollerslev, Robert F. Engle, Jeffrey M. Wooldridge
DOI: 10.1093/oso/9780198774310.003.0011
Arch

Data up to Jan 2025

Published1995
Citations215
References0
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EconomicsMathematicsEconometricsFinancial economicsStatistics

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A Capital-Asset Pricing Model with Time-varying Covariances (1995) – Arch | Metascience Observatory Explorer