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Tests of the CAPM with time-varying covariances : a multivariate GARCH approach
Ng, Lilian K. - In: The journal of finance : the journal of the American … 46 (1991) 4, pp. 1507-1521
Persistent link: https://www.econbiz.de/10001112556
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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The sources of GARCH : empirical evidence from an intraday returns model incorporating systematic and unique risks
Laux, Paul A. - In: Journal of international money and finance 12 (1993) 5, pp. 543-560
Persistent link: https://www.econbiz.de/10001149590
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Asset pricing specification errors and performance evaluation
He, Jia; Ng, Lilian K.; Zhang, Chu - In: European finance review : the official journal of the … 3 (1999) 2, pp. 205-232
Persistent link: https://www.econbiz.de/10001653168
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The fading of investment-cash flow sensitivity and global development
Larkin, Yelena; Ng, Lilian K.; Zhu, Jie - In: The journal of corporate finance : contracting, … 50 (2018), pp. 294-322
Persistent link: https://www.econbiz.de/10011870258