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Parameter stability in the market model: Tests and time varying parameter estimation with UK data
Coutts, J.A.; Roberts, J.; Mills, T.C. - In: The statistician : journal of the Institute of Statisticians 46 (1997) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10007307074
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Testing Cumulative Prediction Errors in Event Study Methodology
Coutts, J.A.; Mills, T.C.; Roberts, J. - In: Journal of forecasting 14 (1995) 2, pp. 107-116
Persistent link: https://www.econbiz.de/10006940907
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Security price anomalies in the London International Stock Exchange: A 60 year perspective
Arsad, Z.; Coutts, J.A. - In: Applied financial economics 7 (1997) 5, pp. 455-464
Persistent link: https://www.econbiz.de/10007699130
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Misspecification testing and robust estimation of the market model and their implications for event studies
Mills, T.C.; Coutts, J.A.; Roberts, J. - In: Applied economics 28 (1996) 5, pp. 559-566
Persistent link: https://www.econbiz.de/10007620395