Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
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Asset pricing relations are developed for a vector of assets with a time varying covariance structure. Assuming that the eigenvectors are constant but the eigenvalues changing, both the Capital Asset Pricing Model and the Arbitrage Pricing Theory suggest the same testable implication: the time
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美国国家经济研究局创建时间：
1988-11-01
