Robert Turley

Harvard University

1875 Cambridge Street

Cambridge, MA 02138

United States

http://www.people.fas.harvard.edu/~turley/

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Citation 74

An Intertemporal CAPM with Stochastic Volatility

Number of pages: 72 Posted: 15 Mar 2012 Last Revised: 15 Sep 2016
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 808 (36,752)
Citation 3

Abstract:

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ICAPM, time-varying expected returns, stochastic volatility, value premium

An Intertemporal CAPM with Stochastic Volatility

NBER Working Paper No. w18411
Number of pages: 61 Posted: 22 Sep 2012 Last Revised: 23 Apr 2021
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
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Abstract:

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