Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas

Phoebe Koundouri (), Nikolaos Kourogenis, Nikitas Pittis and Panagiotis Samartzis

Journal of Forecasting, 2016, vol. 35, issue 5, 445-461

Date: 2016
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Working Paper: Factor models of stock returns: GARCH errors versus time-varying betas (2016)
Working Paper: Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas (2014)
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