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Extracting factors from heteroskedastic asset returns · Study

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ArticleExtracting factors from heteroskedastic asset returns

Unknown author2001

Article2001

Extracting factors from heteroskedastic asset returns

Unknown author

92 citations·0/0 files stored·Journal of Financial Economics

No readable copy stored yet — this record is metadata only.

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 92 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1976The arbitrage theory of capital asset pricing 1986Economic Forces and the Stock Market 1987Expected stock returns and volatility 1996Stock Markets, Banks, and Economic Growth 1999Stock Markets, Banks, and Economic Growth 1969A General Approach to Confirmatory Maximum Likelihood Factor Analysis

Cited by

2022What are the events that shake our world? Measuring and hedging global COVOL 2014Asset Pricing with a General Multifactor Structure 2005The common and specific components of dynamic volatility 2003Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows 2005GARCH model with cross-sectional volatility: GARCHX models 2008How common are common return factors across the NYSE and Nasdaq?☆2007Turning over Turnover 2009Risk and Return in General: Theory and Evidence

Details

Year2001

Typearticle

Published2001-11-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations92

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/s0304-405x(01)00079-4

openalex_workW2141385698

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