Concepedia

Expected stock returns and volatility

Kenneth R. French, G. William Schwert, Robert F. Stambaugh

Journal of Financial Economics · 1987 · 4.3K citations · 33 references

Open access

Concepts

BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsStochastic ProcessesAsset Return ModelingEquity MarketsRisk-return AnalysisStochastic VolatilityVolatility AnalysisVolatility ModelingEquity Return VolatilityFinancial Market VolatilityStock Market Returns

References

33

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

Specification Tests in Econometrics

Jerry A. Hausman · Econometrica · 1978 · 18.4K citations

Social Sciences, Economics, Causal Inference +15

Risk, Return, and Equilibrium: Empirical Tests

Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 15.1K citations

Business, Economics, Finance +17