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

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  • Brandt, Michael W.
  • Kang, Qiang

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  • Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  • Handle: RePEc:eee:jfinec:v:72:y:2004:i:2:p:217-257
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