In this paper we consider the time series dependence, stationarity, and higher moments issues of a family of first-order conditionally heteroskedastic in mean models with a possibly time-varying mean parameter. The interest in these models lies in the fact that economic theory and physics often...

This article applies a conditionally heteroskedastic asset pricing model to describe the time variation in the first and second moments of asset returns in an interdependent way in the emerging capital market of Greece. Depending on the observability of the factors and under the chosen...

A Stochastic Arbitrage Opportunity is defined as a zero-cost investment portfolio that enhances every feasible benchmark portfolio for all admissible utility functions. The present study provides a formal theory of consistent estimation of the set of arbitrage opportunities and an Empirical...