Market Models and Heteroscedasticity of Residual Security Returns
Bibliographic Data
| ID | 19419904 |
|---|---|
| Authors | Giovanni Barone-Adesi, Giovanni Barone‐Adesi (University of Alberta), Prem P Talwar (University of Alberta) |
| Year | 1983 |
| Volume | 1 |
| Issue | 2 |
| Pages | 163-168 |
| Publication date | 1983-04-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1983.10509335 |
| OpenAlex | W2090475757 |
| Language | EN |
| Citations received | 2 |
| References cited | 13 |
Bickel's tests provide attractive robust alternatives to traditional tests of heteroscedasticity. NYSE securities have homoscedastic residuals once nonnormality of security returns is allowed. Some portfolio designs may generate some heteroscedastic residuals, but this heteroscedasticity is reduced by the Kraus-Litzenberger quadratic market model. This result suggests a misspecification in the traditional market model
Econometrics · Economics · Financial economics · Heteroscedasticity · Residual · Complex Systems and Time Series Analysis · Financial Markets and Investment Strategies · Mathematics · Monetary Policy and Economic Impact
| Citations per year | 0.05 |
|---|---|
| Citation span | 1986 - 2004 (19) |
| Highly cited | No |