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Return Dynamics when Persistence is Unobservable

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  • Timothy C. Johnson

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  • Timothy C. Johnson, 2001. "Return Dynamics when Persistence is Unobservable," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 415-445.
  • Handle: RePEc:bla:mathfi:v:11:y:2001:i:4:p:415-445
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    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
    2. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
    3. Xiaotong Wang & Heng-fu Zou, 2008. "Stock Return Dynamics under Earnings Management," CEMA Working Papers 331, China Economics and Management Academy, Central University of Finance and Economics.
    4. Xiaotong Wang, 2005. "Stock Return Dynamics Under Earnings Management," Yale School of Management Working Papers amz2633, Yale School of Management, revised 01 Jul 2006.

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