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Measuring risk in the mining sector with ARCH models with important observations on sample size

  • McClain, Katherine T.
  • Humphreys, H. Brett
  • Boscan, Atahualpa
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-3VTYXT3-3/2/9afa8d678b8424b338c1ce7bafd24745
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 3 (1996)
    Issue (Month): 4 (December)
    Pages: 369-391

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    Handle: RePEc:eee:empfin:v:3:y:1996:i:4:p:369-391
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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    1. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    2. Ross, Stephen A, 1978. "The Current Status of the Capital Asset Pricing Model (CAPM)," Journal of Finance, American Finance Association, vol. 33(3), pages 885-901, June.
    3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    4. Schwert, G. William, 1983. "Size and stock returns, and other empirical regularities," Journal of Financial Economics, Elsevier, vol. 12(1), pages 3-12, June.
    5. Benjamin M. Friedman, 1985. "Crowding Out or Crowding In? Evidence on Debt-Equity Substitutability," NBER Working Papers 1565, National Bureau of Economic Research, Inc.
    6. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
    7. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
    8. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    9. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    10. Frankel, Jeffrey A, 1985. "Portfolio Crowding-out, Empirically Estimated," The Quarterly Journal of Economics, MIT Press, vol. 100(5), pages 1041-65, Supp..
    11. Friedman, Benjamin M, 1985. "The Effect of Large Government Deficits on Interest Rates and Equity Returns," Oxford Review of Economic Policy, Oxford University Press, vol. 1(1), pages 58-71, Spring.
    12. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    13. Baillie, Richard T. & Bollerslev, Tim, 1990. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 309-324, September.
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