Size, time-varying beta, and conditional heteroscedasticity in UK stock returns

Review of Financial Economics

Volumn 8, Issue 1, 1999, Pages 1-10

  Reyes, Mario G ^a  

^a UNIVERSITY OF IDAHO   (United States)

Author keywords

Conditional volatility; Event studies; GARCH; Systematic risk estimation; Time varying beta

Indexed keywords

EID: 0040361406     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1058-3300(99)00007-5     Document Type: Article

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