EVIDENCE OF HETEROSCEDASTICITY IN MARKET MODEL

被引：16

作者：

MARTIN, JD ^{[1
]}

KLEMKOSK.RC ^{[1
]}

机构：

[1] VIRGINIA POLYTECH INST & STATE UNIV,BLACKSBURG,VA 24061

来源：

关键词：

D O I：

10.1086/295714

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：81 / 86

页数：6

共 8 条

[1] ASSESSMENT OF RISK
BLUME, ME
[J]. JOURNAL OF FINANCE, 1971, 26 (01) : 1 - 10
[2] Fama E.F., 1969, INT ECON REV, V10, DOI [DOI 10.2307/2525569, 10.2307/2525569]
[3] SOME TESTS FOR HOMOSCEDASTICITY
GOLDFELD, SM
QUANDT, RE
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1965, 60 (310) : 539 - 547
[4] KANE EJ, 1968, ECONOMIC STATISTICS
[5] Levy R., 1971, FINANCIAL ANAL J, V27, P55
[6] AUSTRALIAN SHARE PRICES AND RANDOM WALK HYPOTHESIS
PRAETZ, PD
[J]. AUSTRALIAN JOURNAL OF STATISTICS, 1969, 11 (03): : 123 - &
[7] DISTRIBUTION OF SHARE PRICE CHANGES
PRAETZ, PD
[J]. JOURNAL OF BUSINESS, 1972, 45 (01) : 49 - 55
[8] Sharpe W.F., 1972, FINANCIAL ANAL J, V28, P46