Concepedia

Conditional heteroskedasticity adjusted market model and an event study

Albert Corhay, Alireza Tourani Rad

The Quarterly Review of Economics and Finance · 1996 · 111 citations · 24 references

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24

Generalized autoregressive conditional heteroskedasticity

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

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

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

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Estimating betas from nonsynchronous data

Myron S. Scholes, Joseph Williams · Journal of Financial Economics · 1977 · 2.8K citations

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A Simplified Model for Portfolio Analysis

William F. Sharpe · Management Science · 1963 · 2.7K citations

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A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

Tim Bollerslev · The Review of Economics and Statistics · 1987 · 2.6K citations

, , +14