SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Size, time‐varying beta, and conditional heteroscedasticity in UK stock returns
14 references·3 citing·40 second hop
Size, time‐varying beta, and conditional heteroscedasticity in UK stock returns (1999)Size, time‐varying beta, and conditional …Conditional heteroskedasticity adjusted market model and an event study (1996)Conditional heteroskedasticit…Variable betas on the Stockholm exchange 1971-1989 (1994)Variable betas on the Stockho…Time-varying betas and volatility persistence in International Stock markets (1994)Time-varying betas and volati…DUAL BETAS FROM BULL AND BEAR MARKETS: REVERSAL OF THE SIZE EFFECT (1993)DUAL BETAS FROM BULL AND BEAR…Stock returns and volatility: An empirical study of the UK stock market (1992)Stock returns and volatility:…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Stock Returns and Volatility (1990)Stock Returns and VolatilityHeteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…CONDITIONAL HETEROSCEDASTICITY IN THE MARKET MODEL AND EFFICIENT ESTIMATES OF BETAS (1988)CONDITIONAL HETEROSCEDASTICIT…Expected stock returns and volatility (1987)Expected stock returns and vo…ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION (1978)ESTIMATION OF TIME‐VARYING SY…Beta as a Random Coefficient (1978)Beta as a Random CoefficientEstimating betas from nonsynchronous data (1977)Estimating betas from nonsync…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…Capital asset pricing model: A time-varying volatility approach (2016)Capital asset pricing model: …Inter-regional and region-specific transmission of international stock market returns: The role of foreign information (2008)Inter-regional and region-spe…Estimates of the ICAPM with regime-switching betas: evidence from four pacific rim economies (2007)Estimates of the ICAPM with r…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS (1996)Volatility spillovers across equity markets: European evidence (1998)The stochastic volatility in mean model: empirical evidence from international stock markets (2002)Specification Tests in Econometrics (1978)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Luck Versus Forecast Ability: Determinants of Trader Performance in Futures Markets (1991)The performance of professional market timers: daily evidence from executed strategies (2001)Socially responsible investment fund performance: the impact of screening intensity (2010)The relationship between return and market value of common stocks (1981)Business conditions and expected returns on stocks and bonds (1989)The Cross-Section of Expected Stock Returns (1992)An analysis of asymmetry in foreign currency exposure of the Australian equities market (2000)Monetary Policy and the Cross‐Section of Expected Stock Returns (2002)A simple test of the Fama and French model using daily data: Australian evidence (2004)The capital asset pricing model: Some empirical tests (1972)Studies in the Theory of Capital Markets. (1973)Co-Skewness and Capital Asset Pricing (1980)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Optimization Methods in Finance (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques (1998)The determinants of CDS spreads (2013)Small Sample Bias in GMM Estimation of Covariance Structures (1994)An evaluation of volatility forecasting techniques (1996)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)
this work references cited by second hop

References

  • 1987Expected stock returns and volatility4,147 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1990Stock Returns and Volatility722 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 1978Beta as a Random Coefficient385 cited
  • 1992Stock returns and volatility: An empirical study of the UK stock market200 cited
  • 1993DUAL BETAS FROM BULL AND BEAR MARKETS: REVERSAL OF THE SIZE EFFECT139 cited
  • 1978ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION125 cited
  • 1996Conditional heteroskedasticity adjusted market model and an event study110 cited
  • 1994Variable betas on the Stockholm exchange 1971-198985 cited
  • 1994Time-varying betas and volatility persistence in International Stock markets68 cited
  • 1988CONDITIONAL HETEROSCEDASTICITY IN THE MARKET MODEL AND EFFICIENT ESTIMATES OF BETAS50 cited

Cited by

  • 2016Capital asset pricing model: A time-varying volatility approach

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

27 cited
  • 2008Inter-regional and region-specific transmission of international stock market returns: The role of foreign information25 cited
  • 2007Estimates of the ICAPM with regime-switching betas: evidence from four pacific rim economies22 cited