search query: @author Mills, T. C. / total: 5
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| Author: | Markellos, R. N. Mills, T. C. |
| Title: | Asset pricing dynamics |
| Journal: | European Journal of Finance
2003 : DEC, VOL. 9:6, p. 533-556 |
| Index terms: | Capital asset pricing Financial models Time series Econometrics Market efficiency United Kingdom |
| Language: | eng |
| Abstract: | This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with problems related to structural braks and microstructures. |
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