Size, time-varying beta, and conditional heteroscedasticity in UK stock returns
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- Petros Messis & Achilleas Zapranis, 2014. "Asset pricing with time-varying betas for stocks traded on S&P 500," Applied Economics, Taylor & Francis Journals, vol. 46(36), pages 4508-4518, December.
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- Seth Armitage & Janusz Brzeszczynski, 2011. "Heteroscedasticity and interval effects in estimating beta: UK evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 21(20), pages 1525-1538.
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