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An Empirical Evaluation of Alternative Portfolio-Selection Models

✍ Scribed by Kalman J. Cohen and Jerry A. Pogue


Book ID
124673346
Publisher
University of Chicago Press
Year
1967
Tongue
English
Weight
837 KB
Volume
40
Category
Article
ISSN
0021-9398

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This paper presents empirical evidence on the eectiveness of eight dierent parametric ARCH models in describing daily stock returns. Twenty-seven years of UK daily data on a broad-based value weighted stock index are investigated for the period 1971Β±97. Several interesting results are documented. Ov