In this article, we have tested the volatility of the monthly returns of an equity hedge fund for changing conditional variances by using a log likelihood model. Generalized autoregressive conditional heteroskedastic models, (GARCH) with t-distributed errors, and exponential generalized...

We study implications of unpriced "granular measurement errors" -- idiosyncratic shocks to large firms that aren't well-diversified in market indices -- for asset pricing tests and propose alternative tests insensitive to them. We find stronger evidence of an intertemporal relation between the...