Testing the conditional CAPM and the effect of intervaling: A note
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- Robert Brooks & Robert Faff & Tim Fry & Emma Newton, 2004. "Censoring and its impact on multivariate testing of the Capital Asset Pricing Model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 413-420.
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Monash Econometrics and Business Statistics Working Papers
16/04, Monash University, Department of Econometrics and Business Statistics.
- Don U.A. Galagedera & Elizabeth A. Maharaj, 2004. "Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data," Finance 0409056, EconWPA.
- Cifter, Atilla & Ozun, Alper, 2007. "Multiscale Systematic Risk: An Application on ISE-30," MPRA Paper 2484, University Library of Munich, Germany.
- Yew-Choe Lum & Sardar M. N. Islam, 2016. "Time Varying Behavior of Share Returns in Australia: 1988–2004," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
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