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The CAPM with time-varying covariances

Name: The CAPM with time-varying covariances
Price: 18.95 EUR
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Author: M.Sc. Sebastian Wilde
ISBN: 9783346707604

Can the Conditional CAPM with a GARCH-M representation outperform the traditional CAPM?

Seminar Paper, 2021

23 Pages, Grade: 1,3

M.Sc. Sebastian Wilde (Author)

Excerpt

1 Literature review and introduction

2 Theoretical foundation
2.1 ThetraditionalCAPM
2.2 The flaws of the traditional CAPM
2.3 The Conditional CAPM
2.4 The (G)ARCH model foundations
2.5 The GARCH-M extension

3 Empirical analysis
3.1 Econometricapproachandmethods
3.2 Data description
3.3 Descriptive analysis and tests
3.4 Modelestimates

4 Conclusions

Excerpt out of 23 pages

Details

Title: The CAPM with time-varying covariances
Subtitle: Can the Conditional CAPM with a GARCH-M representation outperform the traditional CAPM?
College: University of Hagen (Fakultät für Wirtschaftswissenschaft, Lehrstuhl für Angewandte Statistik)
Grade: 1,3
Author: M.Sc. Sebastian Wilde (Author)
Year: 2021
Pages: 23
Catalog Number: V1267030
ISBN (eBook): 9783346707598
ISBN (Book): 9783346707604
Language: English
Keywords: CAPM, time-varying covariances, Conditional CAPM, GARCH-M, C-CAPM, GARCH-in-mean, Tesla

Quote paper: M.Sc. Sebastian Wilde (Author), 2021, The CAPM with time-varying covariances, Munich, GRIN Verlag, https://www.grin.com/document/1267030

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