Compounding period length and the market model
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- Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
- J. Andrew Coutts & Terence Mills & Jennifer Roberts, 1997. "Time series and cross-section parameter stability in the market model: the implications for event studies," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 243-259.
- Janusz BrzeszczyÃ…Â„ski & Jerzy Gajdka & Tomasz Schabek, 2011. "The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(1), pages 28-49, January.
- Atilla Cifter & Alper Ozun, 2008. "Multiscale Systematic Risk: an Application on the ISE-30," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 10(38), pages 1-24.
- Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
- Janusz BrzeszczyÃƒâ€¦Ã‚â€žski & Jerzy Gajdka & Tomasz Schabek, 2011. "The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(1), pages 28-49, January.
- Cifter, Atilla & Ozun, Alper, 2007. "Multiscale Systematic Risk: An Application on ISE-30," MPRA Paper 2484, University Library of Munich, Germany.
- Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
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