TIME-VARYING CONDITIONAL COVARIANCES IN TESTS OF ASSET PRICING-MODELS

被引：306

作者：

HARVEY, CR

机构：

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1989年 / 24卷 / 02期

关键词：

D O I：

10.1016/0304-405X(89)90049-4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：289 / 317

页数：29

共 55 条

[1] CAPITAL MARKET EQUILIBRIUM WITH RESTRICTED BORROWING [J].

BLACK, F .

JOURNAL OF BUSINESS, 1972, 45 (03) :444-455

[2] ON A CLASS OF PROCESSES ARISING IN LINEAR ESTIMATION THEORY [J].

BLAKE, IF ;

THOMAS, JB .

IEEE TRANSACTIONS ON INFORMATION THEORY, 1968, 14 (01) :12-+

[3]

BODURTHA JN, 1988, TESTING CAPM TIME VA

[4] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J].

BOLLERSLEV, T ;

ENGLE, RF ;

WOOLDRIDGE, JM .

JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) :116-131

[5] STOCK RETURNS AND THE TERM STRUCTURE [J].

CAMPBELL, JY .

JOURNAL OF FINANCIAL ECONOMICS, 1987, 18 (02) :373-399

[6] THE CASE OF THE NEGATIVE NOMINAL INTEREST-RATES - NEW ESTIMATES OF THE TERM STRUCTURE OF INTEREST-RATES DURING THE GREAT-DEPRESSION [J].

CECCHETTI, SG .

JOURNAL OF POLITICAL ECONOMY, 1988, 96 (06) :1111-1141

[7] FUNDS, FACTORS, AND DIVERSIFICATION IN ARBITRAGE PRICING-MODELS [J].

CHAMBERLAIN, G .

ECONOMETRICA, 1983, 51 (05) :1305-1323

[8] VARIANCE FUNCTION ESTIMATION [J].

DAVIDIAN, M ;

CARROLL, RJ .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1987, 82 (400) :1079-1091

[9] A TIME-SERIES ANALYSIS OF REPRESENTATIVE AGENT MODELS OF CONSUMPTION AND LEISURE CHOICE UNDER UNCERTAINTY [J].

EICHENBAUM, MS ;

HANSEN, LP ;

SINGLETON, KJ .

QUARTERLY JOURNAL OF ECONOMICS, 1988, 103 (01) :51-78

[10]

EICHENBAUM MS, 1987, UNPUB ESTIMATING MOD

← 1 2 3 4 5 6 →