Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application

International Review of Financial Analysis

Volumn 8, Issue 1, 1999, Pages 35-52

  Dunne, Peter G ^a  

^a QUEEN'S UNIVERSITY BELFAST   (United Kingdom)

Author keywords

Asset pricing; Multivariate GARCH; Time varying risk factors

Indexed keywords

EID: 0033475007     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(99)00004-6     Document Type: Article

References (14)

1. Berndt, E. K., Hall, B. H., Hall, R. E., & Hausman, J. A. (1974). Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement 3/4, 653-665.
2. Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalised ARCH model. Review of Economics and Statistics 72, 498-505. Bollerslev, T., Chou, R., & Kroner, K. (1992). ARCH modelling in finance: A review of the theory and empirical evidence. Journal of Econometrics 52, 5-59.
3. Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalised ARCH model. Review of Economics and Statistics 72, 498-505. Bollerslev, T., Chou, R., & Kroner, K. (1992). ARCH modelling in finance: A review of the theory and empirical evidence. Journal of Econometrics 52, 5-59.
4. Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy 96(1), 117-131.
5. Demos, A., & Sentana, E. (1992). An Em-based Algorithm for Conditionally Heteroscedastic Factor Models. Working paper, London School of Economics.
6. Engle, R. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50(4), 987-1007.
7. Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory 11, 122-150.
8. Engle, R. F., Ng, V. K., & Rothschild, M. (1990). Asset pricing with a FACTOR-ARCH covariance structure: Empirical estimates for treasury bills. Journal of Econometris 45, 213-237.
9. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
10. Fama, E. F., & French, K. R. (1995). Size and book-to-market factors in earnings and returns. Journal of Finance 50(1), 131-156.
11. Fama, E. F., & French, K. R. (1997). Value Versus Growth: The International Evidence. Working paper, Graduate School of Business, University of Chicago, (August).
12. Ibrahim, B. (1997). The Effects of Asymmetric Predictability of Conditional Variances and Covariances on Asset Allocation. School of Management, Working paper #97/2AF, Herriot-Watt University.
13. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation and risk. Journal of Finance 49, 1541-1578.
14. Pagan, A. (1996). The econometrics of financial markets. Journal of Empirical Finance 3, 15-102.