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Arbitrage pricing theory as a restricted nonlinear multivariate regression model : iterated nonlinear seemingly unrelated regression estimates
McElroy, Marjorie, (1988)
An EM algorithm for conditionally heteroscedastic factor models
Dēmos, Antōnēs A., (1998)
Stable factors in security returns : identification using cross-validation
Conway, Delores A., (1988)
A shifting regimes approach to the stationarity of the market model parameters of individual securities
Hays, Patrick A., (1986)
Parameter instability in mutual fund portfolios : a shifting regimes test
Bauer, Richard J., (1987)
Stability of the arbitrage pricing theory model factors
Hays, Patrick A., (1997)