The impact of the return interval on the estimation of systematic risk-Reference-Cited by-同舟云学术

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The impact of the return interval on the estimation of systematic risk

Published:1997-07 Issue:3 Volume:5 Page:357-376
ISSN:0927-538X
Container-title:Pacific-Basin Finance Journal
language:en
Short-container-title:Pacific-Basin Finance Journal

Author:

Brailsford Timothy J.,Josev Thomas

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference38 articles.

1. Intraday patterns in returns, trading volume, volatility and trading frequency on SEATS;Aitken,1994

2. On the assessment of risk;Blume;Journal of Finance,1971

3. Betas and the regression tendencies;Blume;Journal of Finance,1975

4. An empirical investigation of the possibility of stochastic systematic risk in the market model;Bos;Journal of Business,1984

5. Modelling Australian stock market volatility;Brailsford;Australian Journal of Management,1993

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