Blar i Fakultet for samfunnsvitenskap (SAM) på forfatter "Eggen, Øystein Olsen"
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Time-varying covariance structures A DCC-GARCH approach to testing the CAPM
Draget, Julian Alexander; Eggen, Øystein Olsen (Master thesis, 2023)This master's thesis examines the implications of applyingtime-varying covariance structures betweenfour majorasset classes in the US economy within the framework of the conditional Capital Asset Pricing Model (CAPM). The ...