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On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach

  • Brandt, Michael W.
  • Kang, Qiang
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-49Y3J1V-2/2/4d600959c4a1f0f7ef928cb83f86d65a
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 72 (2004)
    Issue (Month): 2 (May)
    Pages: 217-257

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    Handle: RePEc:eee:jfinec:v:72:y:2004:i:2:p:217-257
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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