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Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks

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Author Info
Sunder, Shyam

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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 35 (1980)
Issue (Month): 4 (September)
Pages: 883-96
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Handle: RePEc:bla:jfinan:v:35:y:1980:i:4:p:883-96

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  4. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 249-274, September. [Downloadable!] (restricted)
  5. Cranfield, J.A.L., 2002. "Persistence Of Price-Cost Margins In The U.S. Food And Tobacco Manufacturing Industries: A Dynamic Single Index Model Approach," Journal of Food Distribution Research, Food Distribution Research Society, vol. 33(02), July. [Downloadable!]
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  7. J. Andrew Coutts, Terence C. Mills, Jennifer Roberts, 1997. "Time series and cross-section parameter stability in the market model: the implications for event studies," European Journal of Finance, Taylor and Francis Journals, vol. 3(3), pages 243-259, September. [Downloadable!] (restricted)
  8. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA. [Downloadable!]
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