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  • 4
AgEcon Search 4 records found Search took 0.05 seconds. 
1.
This paper extends the Lagrange multiplier (LM) test to testing white noise disturbances against GARCH disturbances in the linear regression model. The resulting LM test [...]
English | 1991 | Working or Discussion Paper |
2.
This paper considers the twin problems of testing for ARCH and GARCH disturbances in the linear regression model. A feature of these testing problems, ignored by the stan [...]
English | 1991 | Working or Discussion Paper |
3.
Many studies have investigated the issue of time stationarity of an asset's systematic risk. While there is considerable evidence to suggest that an asset's systematic ri [...]
English | 1992 | Working or Discussion Paper |
4.
While the evidence on time-varying systematic risk of U.S. assets is well documented in the literature, little work has been conducted in the Australian equity market. Th [...]
English | 1990 | Working or Discussion Paper |

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