ADDITIONAL EVIDENCE OF HETEROSCEDASTICITY IN THE MARKET MODEL

被引：16

作者：

BEY, RP

PINCHES, GE

机构：

[1] UNIV MISSOURI, COLUMBIA, MO 65201 USA

[2] UNIV KANSAS, LAWRENCE, KS 66045 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1980年 / 15卷 / 02期

关键词：

D O I：

10.2307/2330347

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：299 / 322

页数：24

相关论文

共 31 条

[1] BACON RW, 1971, B OXFORD U I ECON ST, V33, P107
[2] CANADIAN EVIDENCE OF HETEROSCEDASTICITY IN MARKET MODEL
BELKAOUI, A
[J]. JOURNAL OF FINANCE, 1977, 32 (04) : 1320 - 1324
[3] ASSESSMENT OF RISK
BLUME, ME
[J]. JOURNAL OF FINANCE, 1971, 26 (01) : 1 - 10
[4] SIMPLE-MODEL OF NON-STATIONARITY OF SYSTEMATIC RISK
BRENNER, M
SMIDT, S
[J]. JOURNAL OF FINANCE, 1977, 32 (04) : 1081 - 1092
[5] HETEROSCEDASTICITY IN MARKET MODEL - COMMENT
BROWN, SJ
[J]. JOURNAL OF BUSINESS, 1977, 50 (01) : 80 - 83
[6] Conover William Jay., 1998, PRACTICAL NONPARAMET, V350
[7] ROBUSTNESS OF SOME STANDARD TEST FOR AUTOCORRELATION AND HETEROSKEDASTICITY WHEN BOTH PROBLEMS ARE PRESENT
EPPS, TW
EPPS, ML
[J]. ECONOMETRICA, 1977, 45 (03) : 745 - 753
[8] Fama E. F., 1969, INT ECON REV, V10, P1, DOI [10.2307/2525569, DOI 10.2307/2525569]
[9] RISK, RETURN, AND EQUILIBRIUM - EMPIRICAL TESTS
FAMA, EF
MACBETH, JD
[J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 607 - 636
[10] FAMA EF, 1976, F FINANCE

← 1 2 3 4 →