CONDITIONAL HETEROSCEDASTICITY IN THE MARKET MODEL AND EFFICIENT ESTIMATES OF BETAS
- 1 May 1988
- journal article
- Published by Wiley in The Financial Review
- Vol. 23 (2) , 201-214
- https://doi.org/10.1111/j.1540-6288.1988.tb00786.x
Abstract
No abstract availableKeywords
This publication has 25 references indexed in Scilit:
- An Examination of Event Dependency and Structural Change in Security Pricing ModelsJournal of Financial and Quantitative Analysis, 1985
- Small-Sample Properties of ARCH Estimators and TestsCanadian Journal of Economics/Revue canadienne d'économique, 1985
- Market Models and Heteroscedasticity of Residual Security ReturnsJournal of Business & Economic Statistics, 1983
- Time-Series Analysis of Beta Stationarity and Its Determinants: A Case of Public UtilitiesFinancial Management, 1982
- Additional Evidence of Heteroscedasticity in the Market ModelJournal of Financial and Quantitative Analysis, 1980
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityEconometrica, 1980
- Maximum Likelihood Estimation in Random Coefficient ModelsJournal of the American Statistical Association, 1977
- Maximum Likelihood Estimation in Random Coefficient ModelsJournal of the American Statistical Association, 1977
- Heteroscedasticity in the Market Model: A CommentThe Journal of Business, 1977
- Evidence of Heteroscedasticity in the Market ModelThe Journal of Business, 1975