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Testing the conditional CAPM and the effect of intervaling: A note

  • Brailsford, Timothy J.
  • Faff, Robert W.

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File URL: http://www.sciencedirect.com/science/article/B6VFF-3SWSK7Y-2/2/be3e4ff48e21ea1bbadd0316bbaa3395
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Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 5 (1997)
Issue (Month): 5 (December)
Pages: 527-537

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Handle: RePEc:eee:pacfin:v:5:y:1997:i:5:p:527-537
Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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  1. Pagan, A.R. & Kearns, P., 1990. "Ustralian Stock Market Volatility: 1875-1987," RCER Working Papers 248, University of Rochester - Center for Economic Research (RCER).
  2. Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.
  3. Lewis, Karen K., 1991. "Should the holding period matter for the intertemporal consumption-based CAPM?," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 365-389, December.
  4. 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.
  5. Karen K. Lewis, 1991. "Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?," NBER Working Papers 3583, National Bureau of Economic Research, Inc.
  6. Nelson, Daniel B., 1992. "Filtering and forecasting with misspecified ARCH models I : Getting the right variance with the wrong model," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 61-90.
  7. Turtle, Harry J., 1994. "Temporal dependence in asset pricing models," Economics Letters, Elsevier, vol. 45(3), pages 361-366.
  8. Brailsford, Timothy J., 1995. "Market closures and time-varying volatility in the Australian equity market," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 165-172, June.
  9. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
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