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The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three‐factor Fama–French asset‐pricing model
13 references·0 citing·36 second hop
The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three‐factor Fama–French asset‐pricing model (2007)The performance of heteroskedasticity and…The Econometrics of Financial Markets (2012)The Econometrics of Financial…HAC ESTIMATION BY AUTOMATED REGRESSION (2005)HAC ESTIMATION BY AUTOMATED R…Asset Pricing: Revised Edition (2005)Asset Pricing: Revised EditionNew Facts in Finance (2000)New Facts in FinanceNew Facts in Finance (1999)New Facts in FinanceThe Econometrics of Financial Markets (1997)The Econometrics of Financial…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)An Improved Heteroskedasticit…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)An Econometric Analysis of Nonsynchronous Trading (1989)An ordered probit analysis of transaction stock prices (1990)The Econometrics of Financial Markets (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Time Series Regression with a Unit Root (1987)Testing for cointegration using principal components methods (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)MONEY, INCOME, AND CAUSALITY (1972)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Testing for Error Correction in Panel Data* (2007)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Macro Factors in Bond Risk Premia (2009)Presidential Address: Discount Rates (2011)Determining the Number of Factors in Approximate Factor Models (2002)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2012The Econometrics of Financial Markets5,889 cited
  • 1997The Econometrics of Financial Markets5,048 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
  • 2005Asset Pricing: Revised Edition763 cited
  • 1999New Facts in Finance321 cited
  • 2005HAC ESTIMATION BY AUTOMATED REGRESSION99 cited
  • 2000New Facts in Finance71 cited

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