Capital asset pricing model on UK securities using ARCH
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DOI: 10.1080/09603100110115174
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References listed on IDEAS
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Cited by:
- Yih Su & Jing-Shiang Hwang, 2009. "A two-phase approach to estimating time-varying parameters in the capital asset pricing model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(1), pages 79-89.
- Roman Mestre, 2021.
"A wavelet approach of investing behaviors and their effects on risk exposures,"
Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
- Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Post-Print hal-03195190, HAL.
- Tienyu Hwang & Simon Gao & Heather Owen, 2012. "A two‐pass model study of the CAPM: evidence from the UK stock market," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(2), pages 89-104, June.
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