An Intertemporal CAPM with Stochastic Volatility
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- Campbell, John Y & Giglio, Stefano W & Polk, Christopher & Turley, Robert, 2015. "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers 10681, C.E.P.R. Discussion Papers.
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More about this item
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2012-09-30 (All new papers)
- NEP-FMK-2012-09-30 (Financial Markets)
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