CAPM with time-varying covariances

Seminar paper from the year 2021 in the subject Economics - Finance, grade: 1,3, University of Hagen (Fakultat fur Wirtschaftswissenschaft, Lehrstuhl fur Angewandte Statistik), language: English, abstract: The CAPM provides a single state, single factor, general equilibrium theory of the risk-return relation. However, in the 1960s, Mandelbrot (1963) already observed stock returns to have a very pe...