Time-varying conditional covariances in tests of asset pricing models
- 1 January 1989
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 24 (2) , 289-317
- https://doi.org/10.1016/0304-405x(89)90049-4
Abstract
No abstract availableKeywords
This publication has 40 references indexed in Scilit:
- On estimating the expected return on the market: An exploratory investigationPublished by Elsevier ,2002
- Dividend yields and expected stock returnsPublished by Elsevier ,2002
- Stock returns and the term structurePublished by Elsevier ,2002
- The real term structure and consumption growthJournal of Financial Economics, 1988
- A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under UncertaintyThe Quarterly Journal of Economics, 1988
- Expected stock returns and volatilityJournal of Financial Economics, 1987
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing ModelsEconometrica, 1987
- On correlations and inferences about mean-variance efficiencyJournal of Financial Economics, 1987
- On the exclusion of assets from tests of the two-parameter model: A sensitivity analysisJournal of Financial Economics, 1982
- Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimationJournal of Econometrics, 1979