Capital Asset Pricing Model

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Dynamic Stock Selection Strategies: A Structured Factor Model Framework (2012, background): “It so happens, however, that for most of these extensions no single portfolio of risky assets is optimal for every investor (see Perold 2004, for a related discussion).”
Short-term density forecasting of wave energy using ARMA-GARCH models and kernel density estimation (2016, methodology): “We used the VEC type VARMA-MGARCH model of Bollerslev et al. (1988) with diurnal cyclical terms, as given in expressions (17)-(19): 𝒚𝑡 = 𝑠(𝝁, 𝑡) + ∑ 𝑹𝑖𝒚𝑡−𝑖 𝑟 𝑖=1 + ∑ 𝑴𝑗𝜺𝑡−𝑗 𝑚 𝑗=1 , (17) 𝑣𝑒𝑐ℎ(𝑽𝑡) = 𝑠(𝝎, 𝑡) + ∑ 𝑷𝑖𝑣𝑒𝑐ℎ(𝑽𝑡−𝑖) 𝑝 𝑖=1 + ∑ 𝑸𝑗𝑣𝑒𝑐ℎ(𝜺𝑡−𝑗𝜺𝑡−𝑗 ′…”