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| Author: | Scheicher, M. |
| Title: | Time-varying risk in the German stock market |
| Journal: | European Journal of Finance
2000 : MAR, VOL. 6:1, p. 70-91 |
| Index terms: | Capital asset pricing Models Stock markets Germany |
| Language: | eng |
| Abstract: | This paper compares two specifications of the Capital Asset Pricing Model for a sample of German stocks. The specifications generate time-varying first and second moments by conditioning on past information. This explicit modelling of the time series behaviour of risk allows us to characterize the driving factors of variances and covariances of returns. |
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