Size, time-varying beta, and conditional heteroscedasticity in UK stock returns
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Bibliographic InfoArticle provided by Elsevier in its journal Review of Financial Economics.
Volume (Year): 8 (1999)
Issue (Month): 1 (June)
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Web page: http://www.elsevier.com/locate/inca/620170
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- Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
- Hahn, TeWhan & Reyes, Mario G., 2004. "On the estimation of stock-market reaction to corporate layoff announcements," Review of Financial Economics, Elsevier, vol. 13(4), pages 357-370.
- Elfakhani, Said & Wei, Jason, 2003. "The survivorship bias, share price effect, and small firm effect in Canadian markets," Review of Financial Economics, Elsevier, vol. 12(4), pages 397-411.
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