[1] |
Reyes M G, Size. Time-varying beta and conditional heteroscedasticity in UK stock returns[J]. Review of Financial Economics,1999, 8:1-10. |
[2] |
Estrada J. The temporal dimension of risk [J]. The Quarterly Review of Economics & Finance , 2000, 40:l89-204. |
[3] |
Ferson W E , Harvey, et al. The variation of economic risk premiums [J]. Journal of Political Economy, 1991, 99:385-415. |
[4] |
Jagannathan R, Wang, et al. The conditional CAPM and the cross section of expected returns [J]. Journal of Finance, 1996, 51:3-53. |
[5] |
Andersen Torben G, Bollerslev, et al. Realized beta: persistence and predictability[J]. Advances in Econometrics, 2006, 20: 1-40. |
[6] |
Ghysels E. On stable factor structures in the pricing of risk: do time-varying betas help or hurt?[J]. Journal of Finance, 1998, 53:549-573. |
[7] |
Wang K Q . Asset pricing with conditioning information: a new test [J]. Journal of Finance, 2003, 58:161-196. |
[8] |
闰冀楠, 张维, 孙浩. 利用MLPOM对上海股市时变CAPM的实证研究[J]. 预测,1998,17(2):60-62. |
[9] |
苏卫东, 张世英. 上海股市β系数的稳定性检验[J]. 预测,2002,21(2):44-46. |
[10] |
刘永涛. 上海证券市场β系数相关特性的实证研究[J]. 管理科学,2004,17(1):29-35. |
[11] |
徐占东, 郭多祚. 中国股票市场β稳定性分析[J]. 统计与信息论坛,2004,19(6):39-42. |