G. W. Schwert is from William E. Simon Graduate School of Business Administration, University of Rochester, and National Bureau of Economic Research. P. J. Seguin is from William E. Simon Graduate School of Business Administration, University of Rochester. We received helpful comments from Robert Engle, Michael Gibbons, Campbell Harvey, James Poterba, René Stulz, and two anonymous referees. Support from the Bradley Policy Research Center at the Univerity of Rochester and from the Olin Foundation is gratefully acknowledged.
Heteroskedasticity in Stock Returns
Version of Record online: 30 APR 2012
© 1990 the American Finance Association
The Journal of Finance
Volume 45, Issue 4, pages 1129–1155, September 1990
How to Cite
SCHWERT, G. W. and SEGUIN, P. J. (1990), Heteroskedasticity in Stock Returns. The Journal of Finance, 45: 1129–1155. doi: 10.1111/j.1540-6261.1990.tb02430.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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