FINANCE FORSCHUNGSSEMINAR
(R. Alt)
Dienstag, 23. April 1996
M. Scheicher
(Uni Wien)
Asset Pricing with Time-dependent Covariances for German Stocks
Abstract:
This paper analyzes different specifications for dynamic asset pricing models.
The common characteristic is time variation in conditional expected returns,
variances and covariances. The sample in this study comprises monthly data
from the German stock market from 1963 to 1993. Motivation for dynamic asset
pricing models is given by the stylized facts on univariate time series of
asset returns and by subsample estimation of the risk-return relation.
Within a Sharpe-Lintner conditional Capital Asset Pricing Model we consider
different specifications of Multivariate AutoRegressive Conditional
Heteroscedasticity.
Ort: HS II
Zeit: 16.30 Uhr
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