RATS programs to replicate Campbell and Ammer's JOF 1993 paper
AbstractReplication for Campbell and Ammer(1993), "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns", J of Finance, vol 48, pp 3-37.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00029.
Programming language: RATS
Requires: RATS 8.00
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Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Campbell, John Y & Ammer, John, 1993. " What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
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