Conditional volatility and firm size: an empirical analysis of UK equity portfolios

Keyphrases

• Firm Size 100%
• Equity Portfolio 100%
• Conditional Volatility 100%
• Serial Correlation 66%
• Portfolio Returns 66%
• Small Firms 33%
• Capitalization 33%
• Stock Return Volatility 33%
• GARCH Family Models 33%
• Stock Portfolio Returns 33%
• Economic Modeling 33%
• Autocorrelation Structure 33%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 33%
• Financial Economics 33%
• Conditional Mean 33%
• Statistical Process 33%
• Volatility 33%
• Non-synchronous Trading 33%

Economics, Econometrics and Finance

• Firm Size 100%
• Volatility 100%
• Capital Market Returns 33%
• Financial Economics 33%
• Generalized Autoregressive Conditional Heteroskedasticity 33%
• ARCH Model 33%
• Economic Model Construction 33%