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An Unbiased Reexamination of Stock Market Volatility

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Author Info
N. Gregory Mankiw (MIT)
David Romer (MIT)
Matthew D. Shapiro (Cowles Foundation, Yale University)

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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 758.

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Length: 22 pages
Date of creation: Jan 1985
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Publication status: Published in Journal of Finance (July 1985), 40(3): 677-687
Handle: RePEc:cwl:cwldpp:758

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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Flavin, Marjorie A, 1983. "Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 91(6), pages 929-56, December. [Downloadable!] (restricted)
  2. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-74, May. [Downloadable!] (restricted)
  3. Lawrence H. Summers, 1987. "Do We Really Know That Financial Markets Are Efficient?," NBER Working Papers 0994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Singleton, Kenneth J, 1980. "Expectations Models of the Term Structure and Implied Variance Bounds," Journal of Political Economy, University of Chicago Press, vol. 88(6), pages 1159-76, December. [Downloadable!] (restricted)
  5. Michener, Ronald W, 1982. "Variance Bounds in a Simple Model of Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 90(1), pages 166-75, February. [Downloadable!] (restricted)
  6. Jeffrey A. Frankel & James H. Stock, 1987. "A Relationship Between Regression Tests and Volatility Tests of Market ncy," NBER Working Papers 1105, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2009-11-12.

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