Unit roots in the CAPM?

Applied Economics Letters

Volumn 8, Issue 8, 2001, Pages 499-502

  Markellos, Raphael N ^a   Mills, Terence C ^a  

^a LOUGHBOROUGH UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1142295119     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850010017690     Document Type: Article

References (5)

1. Banerjee, A., Dolado, J. J., Galbraith, J. K. and Hendry, D. F. (1993) Integration, Cointegration, and Error Correction in Econometrics, Oxford University Press, Oxford.
2. Campbell, J. Y., Lo, A. W. and MacKinlay, A. C. (1997) The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ.
3. Dickey, D. A. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-31.
4. Markellos, R. N. (1999) Nonlinearities and Dynamics in Finance, unpublished PhD thesis, Dept. of Economics, Loughborough University.
5. Mills, T. C. (1996) The econometrics of the 'Market Model': cointegration, error correction and exogeneity', International Journal of Finance and Economics, 1, 275-86.