SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Heteroscedasticity and interval effects in estimating beta: UK evidence
16 references·2 citing·33 second hop
Heteroscedasticity and interval effects in estimating beta: UK evidence (2011)Heteroscedasticity and interval effects i…Macroeconomics and ARCH (2010)Macroeconomics and ARCHTime-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques (2008)Time-varying beta risk of Pan…The theory and practice of corporate finance: evidence from the field (2001)The theory and practice of co…Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques (2000)Time Varying Beta Risk: An An…Good News, Bad News, Volatility, and Betas (1995)Good News, Bad News, Volatili…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Heteroskedasticity in Stock Returns (1990)Heteroskedasticity in Stock R…The relation between the return interval and betas (1989)The relation between the retu…Heteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Bank mergers and acquisitions in Greece: the financial crisis and its effect on shareholder wealth (2019)Bank mergers and acquisitions…Central Bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland (2017)Central Bank communication an…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)Illiquidity and stock returns: cross-section and time-series effects (2002)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The variation of certain speculative prices (1997)Specification Tests in Econometrics (1978)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Managing with Style: The Effect of Managers on Firm Policies (2003)Law, finance, and economic growth in China (2005)The economic implications of corporate financial reporting (2005)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2001The theory and practice of corporate finance: evidence from the field5,947 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 1995Good News, Bad News, Volatility, and Betas406 cited
  • 1989The relation between the return interval and betas234 cited
  • 2000Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques170 cited
  • 1990Heteroskedasticity in Stock Returns131 cited
  • 2008Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques

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

98 cited
  • 2010Macroeconomics and ARCH73 cited
  • Cited by

    • 2019Bank mergers and acquisitions in Greece: the financial crisis and its effect on shareholder wealth14 cited
    • 2017Central Bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland8 cited