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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management
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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management (2020)Efficient estimation of high-dimensional …Dynamic Equicorrelation (2012)Dynamic EquicorrelationThe Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…Multivariate Stochastic Volatility: A Review (2006)Multivariate Stochastic Volat…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Application of CNN-based financial risk identification and management convolutional neural networks in financial risk (2025)Application of CNN-based fina…Volatility and dynamic dependence modeling: Review, applications, and financial risk management (2021)Volatility and dynamic depend…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Cross‐Section of Volatility and Expected Returns (2006)
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References

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  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
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  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
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  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited

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  • 2012Dynamic Equicorrelation456 cited
  • 2006Multivariate Stochastic Volatility: A Review375 cited
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