Concepedia

Time-varying Variance Scaling: Application of the Fractionally Integrated ARMA Model

An‐Sing Chen, Hung-Chou Chang, Lee‐Young Cheng

The North American Journal of Economics and Finance · 2018 · 17 citations · 25 references

DOI

Concepts

References

25

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations

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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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The Cross‐Section of Expected Stock Returns

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 15.1K citations · Full text

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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh, Sheridan Titman · The Journal of Finance · 1993 · 11.5K citations

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A five-factor asset pricing model

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 2014 · 7.8K citations

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