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• W2114078811 abstract "This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with problems related to structural breaks and microstructures, dynamics in the mean and variance process, and non-stationary regressions and cointegration. An empirical application using UK stock market data demonstrates the merit of the proposed methodology in correcting market model regressions." @default.
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• W2114078811 date "2003-12-01" @default.
• W2114078811 modified "2023-09-27" @default.
• W2114078811 title "Asset pricing dynamics" @default.
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• W2114078811 doi "https://doi.org/10.1080/1351847032000082547" @default.
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