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Persistent link: https://www.econbiz.de/10010889640
In this article we propose a new parsimonious state-space model in which state variables characterize the stochastic movements of stock returns. Using the equally weighted and decile monthly stock returns, we show that (a) a parsimonious state-space model characterizes the variation in expected...
Persistent link: https://www.econbiz.de/10008518502