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Decomposing Densities of Stock Indexes Returns

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Author Info
Sun, Y.

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File URL: http://www.economics.uoguelph.ca/Research/DisPapers/2004_6.pdf
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Paper provided by University of Guelph, Department of Economics in its series Working Papers with number 2004-6.

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Length: 44 pages
Date of creation: 2004
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Handle: RePEc:gue:guelph:2004-6

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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. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
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  2. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March. [Downloadable!] (restricted)
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