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Conditional heteroskedasticity adjusted market model and an event study · Study

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ArticleConditional heteroskedasticity adjusted market model and an event study

Albert H. R. F. Corhay1996

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Articlegreen1996

Conditional heteroskedasticity adjusted market model and an event study

Albert H. R. F. Corhay · Alireza Tourani‐Rad

110 citations·0/0 files stored·The Quarterly Review of Economics and Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Corporate Finance and Governance

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Estimating betas from nonsynchronous data 1963A Simplified Model for Portfolio Analysis 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1986Modelling the persistence of conditional variances 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts 2002The Message in Daily Exchange Rates

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Year1996

Typearticle

Published1996-12-01

VenueThe Quarterly Review of Economics and Finance

ISSN-L1062-9769

Languageen

Citations110

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1062-9769(96)90050-2

openalex_workW2007456310

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2003

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2001Alternative Methods for Robust Analysis in Event Study Applications