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基于多元GARCH理论的资本资产定价模型 被引量:3

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出处 《统计与决策》 CSSCI 北大核心 2004年第12期47-48,共2页 Statistics & Decision
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  • 1林孝贵.二重期货套期保值模型及其代数解法[J].广西工学院学报,2004,15(3):68-71. 被引量:3
  • 2迟国泰,刘轶芳,冯敬海.基于牛顿插值原理的期货价格波动函数及保证金随动模型[J].数量经济技术经济研究,2005,22(3):150-160. 被引量:12
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  • 7Fischer Black, Michael C. Jensen, Myron S. Scholes. The Capital Asset Pricing Model: Some Empirical Tests [A]. Michael C. Jensen. Studies in the Theory of Capital Markets [C] . Praeger Publishers Inc. , 1972.
  • 8Eugene F. Fama, James D. Macbeth. Risk, Return and Equilibrium: Empirical Tests [J]. Journal of Political Economy, 1973, 81 (3) .
  • 9S. Basu. The Investment Performance of Common Stocks in Relation to Their Price to Earnings Ration: A Test of the Efficient Markets Hypothesis [J]. Journal of Finance, 1977, (50) .
  • 10Roll Banz. The Relationship between Return and Market Value of Common Stocks [J] . Journal of Financial Economics, 1981, (9).

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