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Original Articles

Unit roots in the CAPM?

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Pages 499-502 | Published online: 06 Oct 2010

References

  • Banerjee , A. , Dolado , J. J. , Galbraith , J. K. and Hendry , D. F. 1993 . Integration, Cointegration, and Error Correction in Econometrics , Oxford : Oxford University Press .
  • Campbell , J. Y. , Lo , A. W. and MacKinlay , A. C. 1997 . The Econometrics of Financial Markets , Princeton, NJ : Princeton University Press .
  • Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 431 .
  • Markellos , R. N. 1999 . Nonlinearities and Dynamics in Finance , Dept of Economics, Loughborough University . unpublished PhD thesis
  • Mills , T. C. 1996 . The econometrics of the ‘Market Model’: cointegration, error correction and exogeneity' . International Journal of Finance and Economics , 1 : 275 – 286 .

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