HETEROSCEDASTICITY IN MARKET MODEL - COMMENT

被引:13
作者
BROWN, SJ [1 ]
机构
[1] BELL TEL LABS INC,MURRAY HILL,NJ 07974
关键词
D O I
10.1086/295910
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:80 / 83
页数:4
相关论文
共 10 条
[1]  
BLATTBERG R, 1974, J BUS, V47, pN249
[2]   ASSESSMENT OF RISK [J].
BLUME, ME .
JOURNAL OF FINANCE, 1971, 26 (01) :1-10
[3]   RISK, RETURN, AND EQUILIBRIUM - EMPIRICAL TESTS [J].
FAMA, EF ;
MACBETH, JD .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :607-636
[4]  
GOLDBERGER AS, 1964, ECONOMET THEOR, P282
[5]  
KMENTA J, 1971, ELEMENTS ECONOMETRIC, P202
[6]   EVIDENCE OF HETEROSCEDASTICITY IN MARKET MODEL [J].
MARTIN, JD ;
KLEMKOSK.RC .
JOURNAL OF BUSINESS, 1975, 48 (01) :81-86
[7]   AUSTRALIAN SHARE PRICES AND RANDOM WALK HYPOTHESIS [J].
PRAETZ, PD .
AUSTRALIAN JOURNAL OF STATISTICS, 1969, 11 (03) :123-&
[8]   DISTRIBUTION OF SHARE PRICE CHANGES [J].
PRAETZ, PD .
JOURNAL OF BUSINESS, 1972, 45 (01) :49-55
[9]  
THEIL H, 1971, PRINCIPLES ECONOMETR, P110
[10]  
ZELLNER A, 1971, INTRO BAYESIAN INFER, P388