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An intertemporal CAPM with stochastic volatility

2018330 citationsJournal Articlegreen Open Access

Authors

John Y. Campbell · Harvard University

Stefano Giglio · National Bureau of Economic Research

Christopher Polk · London School of Economics and Political Science

Robert Turley · Cox & Company (United States)

Topics & Keywords

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

UN Sustainable Development Goals

Partnerships for the goals

Publication Details

Published in: Journal of Financial Economics

Volume 128, Issue 2, pp. 207-233

DOI: 10.1016/j.jfineco.2018.02.011

Field-Weighted Citation Impact: 45.23

An intertemporal CAPM with stochastic volatility | Researchclopedia