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Seasonality in ex dividend day returns
Bali, Rakesh, (2003)
Equity prices, dividends and gilt yields in the UK : cointegration, error correction and "confidence"
Mills, Terence C., (1991)
Periodic autoregressive conditional heteroscedasticity
Bollerslev, Tim, (1996)
Testing for GARCH effects : a one-sided approach
Dēmos, Antōnēs A., (1996)
An EM algorithm for conditionally heteroskedastic factor models
Dēmos, Antōnēs A., (1998)