Capital asset pricing model: A time-varying volatility approach
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- 作者：Kun Ho Kima ; kunhokim8@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Taejin Kimb
- 关键词：Capital asset pricing model ; Time-varying volatility ; Idiosyncratic risk ; Uniform inference ; Co-movement ; Financial crisis
- 刊名：Journal of Empirical Finance
- 出版年：2016
- 出版时间：June 2016
- 年：2016
- 卷：37
- 期：Complete
- 页码：268-281
- 全文大小：1261 K
文摘
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The paper proposes a CAPM with time-varying beta and time-varying volatility.
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Inference of the volatility is conducted through its uniform confidence band.
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We find out strong co-movement among the volatility estimates for major U.S. stocks.
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Constant-volatility-hypothesis is rejected due to its rise in the early 2000s/2008 crises.