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EXPECTED STOCK RETURNS AND VOLATILITY
被引:1737
作者
:
FRENCH, KR
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV ROCHESTER,ROCHESTER,NY 14627
UNIV ROCHESTER,ROCHESTER,NY 14627
FRENCH, KR
[
1
]
SCHWERT, GW
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV ROCHESTER,ROCHESTER,NY 14627
UNIV ROCHESTER,ROCHESTER,NY 14627
SCHWERT, GW
[
1
]
STAMBAUGH, RF
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV ROCHESTER,ROCHESTER,NY 14627
UNIV ROCHESTER,ROCHESTER,NY 14627
STAMBAUGH, RF
[
1
]
机构
:
[1]
UNIV ROCHESTER,ROCHESTER,NY 14627
来源
:
JOURNAL OF FINANCIAL ECONOMICS
|
1987年
/ 19卷
/ 01期
关键词
:
D O I
:
10.1016/0304-405X(87)90026-2
中图分类号
:
F8 [财政、金融];
学科分类号
:
0202 ;
摘要
:
引用
收藏
页码:3 / 29
页数:27
相关论文
共 32 条
[1]
BLACK, 1972, STUDIES THEORY CAPIT
[2]
BLACK, 1976, 1976 P M BUS EC STAT, P177
[3]
GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY
BOLLERSLEV, T
论文数:
0
引用数:
0
h-index:
0
机构:
AARHUS UNIV,INST ECON,DK-8000 AARHUS C,DENMARK
AARHUS UNIV,INST ECON,DK-8000 AARHUS C,DENMARK
BOLLERSLEV, T
[J].
JOURNAL OF ECONOMETRICS,
1986,
31
(03)
: 307
-
327
[4]
BOLLERSLEV TP, 1985, UNPUB CAPITAL ASSET
[5]
BREEDEN DT, 1986, UNPUB EMPIRICAL TEST
[6]
A SIMPLE ECONOMETRIC-APPROACH FOR UTILITY-BASED ASSET PRICING-MODELS
BROWN, DP
论文数:
0
引用数:
0
h-index:
0
机构:
STANFORD UNIV,MED CTR,SCH MED,GRAD SCH BUSINESS,STANFORD,CA 94305
STANFORD UNIV,MED CTR,SCH MED,GRAD SCH BUSINESS,STANFORD,CA 94305
BROWN, DP
GIBBONS, MR
论文数:
0
引用数:
0
h-index:
0
机构:
STANFORD UNIV,MED CTR,SCH MED,GRAD SCH BUSINESS,STANFORD,CA 94305
STANFORD UNIV,MED CTR,SCH MED,GRAD SCH BUSINESS,STANFORD,CA 94305
GIBBONS, MR
[J].
JOURNAL OF FINANCE,
1985,
40
(02)
: 359
-
381
[7]
ECONOMIC FORCES AND THE STOCK-MARKET
CHEN, NF
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
CHEN, NF
ROLL, R
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
ROLL, R
ROSS, SA
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
ROSS, SA
[J].
JOURNAL OF BUSINESS,
1986,
59
(03)
: 383
-
403
[8]
THE STOCHASTIC-BEHAVIOR OF COMMON-STOCK VARIANCES - VALUE, LEVERAGE AND INTEREST-RATE EFFECTS
CHRISTIE, AA
论文数:
0
引用数:
0
h-index:
0
CHRISTIE, AA
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1982,
10
(04)
: 407
-
432
[9]
ESTIMATING TIME-VARYING RISK PREMIA IN THE TERM STRUCTURE - THE ARCH-M MODEL
ENGLE, RF
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF IRVINE,DEPT ECON,IRVINE,CA 92717
ENGLE, RF
LILIEN, DM
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF IRVINE,DEPT ECON,IRVINE,CA 92717
LILIEN, DM
ROBINS, RP
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF IRVINE,DEPT ECON,IRVINE,CA 92717
ROBINS, RP
[J].
ECONOMETRICA,
1987,
55
(02)
: 391
-
407
[10]
AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION
ENGLE, RF
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV LONDON LONDON SCH ECON & POLIT SCI,LONDON WC2A 2AE,ENGLAND
UNIV LONDON LONDON SCH ECON & POLIT SCI,LONDON WC2A 2AE,ENGLAND
ENGLE, RF
[J].
ECONOMETRICA,
1982,
50
(04)
: 987
-
1007
←
1
2
3
4
→
共 32 条
[1]
BLACK, 1972, STUDIES THEORY CAPIT
[2]
BLACK, 1976, 1976 P M BUS EC STAT, P177
[3]
GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY
BOLLERSLEV, T
论文数:
0
引用数:
0
h-index:
0
机构:
AARHUS UNIV,INST ECON,DK-8000 AARHUS C,DENMARK
AARHUS UNIV,INST ECON,DK-8000 AARHUS C,DENMARK
BOLLERSLEV, T
[J].
JOURNAL OF ECONOMETRICS,
1986,
31
(03)
: 307
-
327
[4]
BOLLERSLEV TP, 1985, UNPUB CAPITAL ASSET
[5]
BREEDEN DT, 1986, UNPUB EMPIRICAL TEST
[6]
A SIMPLE ECONOMETRIC-APPROACH FOR UTILITY-BASED ASSET PRICING-MODELS
BROWN, DP
论文数:
0
引用数:
0
h-index:
0
机构:
STANFORD UNIV,MED CTR,SCH MED,GRAD SCH BUSINESS,STANFORD,CA 94305
STANFORD UNIV,MED CTR,SCH MED,GRAD SCH BUSINESS,STANFORD,CA 94305
BROWN, DP
GIBBONS, MR
论文数:
0
引用数:
0
h-index:
0
机构:
STANFORD UNIV,MED CTR,SCH MED,GRAD SCH BUSINESS,STANFORD,CA 94305
STANFORD UNIV,MED CTR,SCH MED,GRAD SCH BUSINESS,STANFORD,CA 94305
GIBBONS, MR
[J].
JOURNAL OF FINANCE,
1985,
40
(02)
: 359
-
381
[7]
ECONOMIC FORCES AND THE STOCK-MARKET
CHEN, NF
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
CHEN, NF
ROLL, R
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
ROLL, R
ROSS, SA
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
ROSS, SA
[J].
JOURNAL OF BUSINESS,
1986,
59
(03)
: 383
-
403
[8]
THE STOCHASTIC-BEHAVIOR OF COMMON-STOCK VARIANCES - VALUE, LEVERAGE AND INTEREST-RATE EFFECTS
CHRISTIE, AA
论文数:
0
引用数:
0
h-index:
0
CHRISTIE, AA
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1982,
10
(04)
: 407
-
432
[9]
ESTIMATING TIME-VARYING RISK PREMIA IN THE TERM STRUCTURE - THE ARCH-M MODEL
ENGLE, RF
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF IRVINE,DEPT ECON,IRVINE,CA 92717
ENGLE, RF
LILIEN, DM
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF IRVINE,DEPT ECON,IRVINE,CA 92717
LILIEN, DM
ROBINS, RP
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF IRVINE,DEPT ECON,IRVINE,CA 92717
ROBINS, RP
[J].
ECONOMETRICA,
1987,
55
(02)
: 391
-
407
[10]
AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION
ENGLE, RF
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV LONDON LONDON SCH ECON & POLIT SCI,LONDON WC2A 2AE,ENGLAND
UNIV LONDON LONDON SCH ECON & POLIT SCI,LONDON WC2A 2AE,ENGLAND
ENGLE, RF
[J].
ECONOMETRICA,
1982,
50
(04)
: 987
-
1007
←
1
2
3
4
→