A heteroscedastic factor model of asset returns and risk premia with time-varying volatility
By: by Mervyn King, Enrique Sentana and Sushil Wadhwani.
Contributors: Sentana, Enrique.; Wadhwani, Sushil B.
Series: LSE Financial Markets Group Discussion Paper Series -- No.80
Publisher: LSE Financial Markets Group
Published: 1990
Place of publication: London
Language: eng