Asset pricing dynamics

Raphael N. Markellos, Terence C. Mills

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with problems related to structural breaks and microstructures, dynamics in the mean and variance process, and non-stationary regressions and cointegration. An empirical application using UK stock market data demonstrates the merit of the proposed methodology in correcting market model regressions.
Original languageEnglish
Pages (from-to)533-556
Number of pages24
JournalThe European Journal of Finance
Issue number6
Publication statusPublished - 1 Dec 2003


  • Capital Asset Pricing Model
  • Econometrics
  • Time series
  • UK market model

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