Does knowing the volatility states affect the market risk premium?
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DOI: 10.1007/s10436-010-0158-2
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More about this item
Keywords
Risk premium; Endogenous Markov-switching; Volatility states; Investors’ information set; G12; G19;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G19 - Financial Economics - - General Financial Markets - - - Other
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