HETEROSKEDASTICITY IN STOCK RETURNS

[1] BAILLIE RT, 1987, UNPUB MULTIVARIATE G

[2] THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON-STOCKS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) : 3 - 18

[3] BARONEADESI G, 1983, J BUS ECON STAT, V2, P163

[4] ADDITIONAL EVIDENCE OF HETEROSCEDASTICITY IN THE MARKET MODEL [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1980, 15 (02) : 299 - 322

[5] Black F., 1976, P AM STAT ASS BUS EC, P177

[6] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J]. JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) : 116 - 131

[7] BOLLERSLEV T, 1987, UNPUB MODELING COHER

[8] Box G.E.P., 1970, TIME SERIES ANAL FOR, V65, P1509

[9] A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA [J]. BIOMETRIKA, 1949, 36 (3-4) : 317 - 346

[10] AN UNCONDITIONAL ASSET-PRICING TEST AND THE ROLE OF FIRM SIZE AS AN INSTRUMENTAL VARIABLE FOR RISK [J]. JOURNAL OF FINANCE, 1988, 43 (02) : 309 - 325

[1] BAILLIE RT, 1987, UNPUB MULTIVARIATE G

[2] THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON-STOCKS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) : 3 - 18

[3] BARONEADESI G, 1983, J BUS ECON STAT, V2, P163

[4] ADDITIONAL EVIDENCE OF HETEROSCEDASTICITY IN THE MARKET MODEL [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1980, 15 (02) : 299 - 322

[5] Black F., 1976, P AM STAT ASS BUS EC, P177

[6] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J]. JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) : 116 - 131

[7] BOLLERSLEV T, 1987, UNPUB MODELING COHER

[8] Box G.E.P., 1970, TIME SERIES ANAL FOR, V65, P1509

[9] A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA [J]. BIOMETRIKA, 1949, 36 (3-4) : 317 - 346

[10] AN UNCONDITIONAL ASSET-PRICING TEST AND THE ROLE OF FIRM SIZE AS AN INSTRUMENTAL VARIABLE FOR RISK [J]. JOURNAL OF FINANCE, 1988, 43 (02) : 309 - 325