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A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk · Study

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ArticleA Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk

Ken B. Cyree2002

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A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk

Ken B. Cyree · Ramon Paul DeGennaro

21 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992The Cross-Section of Expected Stock Returns 1985Using daily stock returns 1963The Variation of Certain Speculative Prices 1980Measuring security price performance 1977Estimating betas from nonsynchronous data 1994Autoregressive conditional heteroskedasticity and changes in regime 1991Event-study methodology under conditions of event-induced variance

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Year2002

Typearticle

Published2002-12-01

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations21

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1023/a:1021162208290

openalex_workW3123728477

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