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Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application

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Author Info
Dunne, Peter G.

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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 8 (1999)
Issue (Month): 1 ()
Pages: 35-52
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Handle: RePEc:eee:finana:v:8:y:1999:i:1:p:35-52

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  1. Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80. [Downloadable!]
  2. Andrew C. Worthington & Helen Higgs, 2003. "A multivariate GARCH analysis of the domestic transmission of energy commodity prices and volatility: A comparison of the peak and off-peak periods in the Australian electricity spot market," School of Economics and Finance Discussion Papers and Working Papers Series 140, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  3. Andrew Worthington & Helen Higgs, 2001. "A multivariate GARCH analysis of equity returns and volatility in Asian equity markets," School of Economics and Finance Discussion Papers and Working Papers Series 089, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  4. Andrew C. Worthington & Adam Kay-Spratley & Helen Higgs, 2002. "Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis," School of Economics and Finance Discussion Papers and Working Papers Series 114, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
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This page was last updated on 2009-12-3.

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