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An intertemporal CAPM with stochastic volatility · Study

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ArticleAn intertemporal CAPM with stochastic volatility

John Y. Campbell2018

OA

Articlegreen2018

An intertemporal CAPM with stochastic volatility

John Y. Campbell · Stefano Giglio · Christopher Polk · Robert S. Turley

348 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 348 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973An Intertemporal Capital Asset Pricing Model 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited by

2019A tug of war: Overnight versus intraday expected returns 2015Investor Sentiment, Beta, and the Cost of Equity Capital 2017Carry 2016The price of variance risk 2019Volatility and the cross-section of corporate bond returns 2017Uncertainty Shocks and Balance Sheet Recessions 2020Production Networks and Stock Returns: The Role of Vertical Creative Destruction 2020Low‐Risk Anomalies?

Details

Year2018

Typearticle

Published2018-03-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations348

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jfineco.2018.02.011

openalex_workW3012185131

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