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There are 10984 results for: content related to: Heteroskedasticity in Stock Returns

  1. Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances

    Journal of Applied Econometrics

    Volume 27, Issue 3, April/May 2012, Pages: 474–499, Emma M. Iglesias and Garry D. A. Phillips

    Article first published online : 14 JUL 2010, DOI: 10.1002/jae.1203

  2. Conditioning Variables and the Cross Section of Stock Returns

    The Journal of Finance

    Volume 54, Issue 4, August 1999, Pages: 1325–1360, Wayne E. Ferson and Campbell R. Harvey

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00148

  3. You have free access to this content
    Bibliography

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sebastien Laurent, Pages: 487–535, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.biblio

  4. INTERTEMPORAL ASSET PRICING WITHOUT CONSUMPTION DATA: EMPIRICAL TESTS

    Journal of Financial Research

    Volume 20, Issue 1, Spring 1997, Pages: 53–69, Yuming Li

    Article first published online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.1997.tb00236.x

  5. ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

    Journal of Economic Surveys

    Volume 7, Issue 4, December 1993, Pages: 305–366, Anil K. Bera and Matthew L. Higgins

    Article first published online : 27 OCT 2006, DOI: 10.1111/j.1467-6419.1993.tb00170.x

  6. CHANGES IN THE STOCK PRICE REACTION OF SMALL FIRMS TO COMMON INFORMATION

    Journal of Financial Research

    Volume 21, Issue 1, Spring 1998, Pages: 105–121, Neil L. Fargher and Robert A. Weigand

    Article first published online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.1998.tb00272.x

  7. Time-varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis

    Journal of Business Finance & Accounting

    Volume 25, Issue 5-6, June/July 1998, Pages: 721–745, R.W. Faff and R.D. Brooks

    Article first published online : 3 MAR 2003, DOI: 10.1111/1468-5957.00209

  8. TWIN SONS OF DIFFERENT MOTHERS: THE LONG AND THE SHORT OF THE TWIN DEFICITS DEBATE

    Economic Inquiry

    Volume 47, Issue 4, October 2009, Pages: 625–638, KEVIN GRIER and HAICHUN YE

    Article first published online : 21 AUG 2008, DOI: 10.1111/j.1465-7295.2008.00162.x

  9. STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY

    Journal of Economic Surveys

    Helmut Lütkepohl and Anton Velinov

    Article first published online : 5 DEC 2014, DOI: 10.1111/joes.12100

  10. COULD DYNAMIC BETA MEASURES ENHANCE PERFORMANCE OF CAPITAL-ASSET-PRICING MODEL ON FITTING STOCK RETURNS? A REALITY TEST

    The Manchester School

    Volume 79, Issue 3, June 2011, Pages: 349–366, MING-YUAN LEON LI

    Article first published online : 7 DEC 2010, DOI: 10.1111/j.1467-9957.2009.02161.x

  11. You have full text access to this OnlineOpen article
    Heteroskedasticity as a leading indicator of desertification in spatially explicit data

    Ecology and Evolution

    David A. Seekell and Vasilis Dakos

    Article first published online : 8 MAY 2015, DOI: 10.1002/ece3.1510

  12. General Tests of Latent Variable Models and Mean-Variance Spanning

    The Journal of Finance

    Volume 48, Issue 1, March 1993, Pages: 131–156, WAYNE E. FERSON, STEPHEN R. FOERSTER and DONALD B. KEIM

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb04704.x

  13. FIRM-LEVEL PRODUCTIVITY SPILLOVERS IN CHINA'S CHEMICAL INDUSTRY: A SPATIAL HAUSMAN-TAYLOR APPROACH

    Journal of Applied Econometrics

    Badi H. Baltagi, Peter H. Egger and Michaela Kesina

    Article first published online : 4 MAY 2015, DOI: 10.1002/jae.2460

  14. Modeling and Forecasting Realized Volatility

    Econometrica

    Volume 71, Issue 2, March 2003, Pages: 579–625, Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys

    Article first published online : 24 OCT 2003, DOI: 10.1111/1468-0262.00418

  15. PROBIT WITH SPATIAL AUTOCORRELATION

    Journal of Regional Science

    Volume 32, Issue 3, August 1992, Pages: 335–348, Daniel P. McMillen

    Article first published online : 28 JUL 2006, DOI: 10.1111/j.1467-9787.1992.tb00190.x

  16. No Contagion, Only Interdependence: Measuring Stock Market Comovements

    The Journal of Finance

    Volume 57, Issue 5, October 2002, Pages: 2223–2261, Kristin J. Forbes and Roberto Rigobon

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00494

  17. RE-EXAMINING THE MARKET MODEL GIVEN EVIDENCE OF HETEROSKEDASTICITY

    Journal of Financial Research

    Volume 2, Issue 2, Fall 1979, Pages: 111–118, Son-Nan Chen

    Article first published online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.1979.tb00023.x

  18. Structural analysis of portfolio risk using beta impulse response functions

    Statistica Neerlandica

    Volume 52, Issue 3, November1998, Pages: 336–355, C. M. Hafner and H. Herwartz

    Article first published online : 9 OCT 2008, DOI: 10.1111/1467-9574.00088

  19. On the forecasting accuracy of multivariate GARCH models

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 934–955, Sébastien Laurent, Jeroen V. K. Rombouts and Francesco Violante

    Article first published online : 26 APR 2011, DOI: 10.1002/jae.1248

  20. Does Increasing Parents’ Schooling Raise the Schooling of the Next Generation? Evidence Based on Conditional Second Moments

    Oxford Bulletin of Economics and Statistics

    Volume 74, Issue 5, October 2012, Pages: 676–690, Lídia Farré, Roger Klein and Francis Vella

    Article first published online : 5 SEP 2011, DOI: 10.1111/j.1468-0084.2011.00667.x