An intertemporal CAPM with stochastic volatility

Academic journals

Publication Date

01/05/2018

Journal of Financial Economics

Publication Authors

John Y. Campbell

Stefano Giglio

Christopher Polk

Robert Turley

John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley (2018). An intertemporal CAPM with stochastic volatility. Journal of Financial Economics, 128 (2), 207-233.

doi: 10.1016/j.jfineco.2018.02.011