A contribution to event study methodology with an application to the Dutch stock market
- 1 February 1992
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 16 (1) , 11-36
- https://doi.org/10.1016/0378-4266(92)90076-c
Abstract
No abstract availableKeywords
This publication has 30 references indexed in Scilit:
- The Price Effect of Option IntroductionThe Journal of Finance, 1989
- An Examination of the Robustness of the Weekend EffectJournal of Financial and Quantitative Analysis, 1989
- Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and ForecastsThe Journal of Business, 1989
- Volatility persistence and stock valuations: Some empirical evidence using garchJournal of Applied Econometrics, 1988
- Alternative Estimators of FIML Covariance Matrix: A Monte Carlo StudyEconometrica, 1988
- A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of ReturnThe Review of Economics and Statistics, 1987
- Some Further Evidence on the Stochastic Properties of Systematic RiskThe Journal of Business, 1987
- An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market ModelThe Journal of Business, 1984
- Intervention Analysis with Applications to Economic and Environmental ProblemsJournal of the American Statistical Association, 1975
- A Comparison of the Stable and Student Distributions as Statistical Models for Stock PricesThe Journal of Business, 1974