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Variance Bounds in a Simple Model of Asset Pricing

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  • Michener, Ronald W
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    Bibliographic Info

    Article provided by University of Chicago Press in its journal Journal of Political Economy.

    Volume (Year): 90 (1982)
    Issue (Month): 1 (February)
    Pages: 166-75

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    Handle: RePEc:ucp:jpolec:v:90:y:1982:i:1:p:166-75

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    Web page: http://www.journals.uchicago.edu/JPE/

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    Cited by:
    1. Mankiw, N Gregory & Romer, David & Shapiro, Matthew D, 1985. " An Unbiased Reexamination of Stock Market Volatility," Journal of Finance, American Finance Association, vol. 40(3), pages 677-87, July.
    2. Andrew Abel, . "Stock Prices Under Time-Varying Dividend Risk: An Exact Solution in an Infinite-Horizon General Equilibrium Model," Rodney L. White Center for Financial Research Working Papers 15-88, Wharton School Rodney L. White Center for Financial Research.
    3. B. Ravikumar & Enchuan Shao, 2005. "Search Frictions and Asset Price Volatility," 2005 Meeting Papers 227, Society for Economic Dynamics.
    4. Kandel, Shmuel & Stambaugh, Robert F., 1991. "Asset returns and intertemporal preferences," Journal of Monetary Economics, Elsevier, vol. 27(1), pages 39-71, February.
    5. John Y. Campbell, 1987. "Bond and Stock Returns in a Simple Exchange Model," NBER Working Papers 1509, National Bureau of Economic Research, Inc.
    6. Kari Takala & Pekka Pere, 1991. "Testing the cointegration of house and stock prices in Finland," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 33-51, Spring.
    7. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1990. "Mean Reversion in Equilibrium Asset Prices," American Economic Review, American Economic Association, vol. 80(3), pages 398-418, June.
    8. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, FundaciĆ³n SEPI, vol. 17(3), pages 401-420, September.
    9. Gary S. Shea, 1985. "Long memory models of interest rates, the term structure, and variance bounds tests," International Finance Discussion Papers 258, Board of Governors of the Federal Reserve System (U.S.).

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