Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure
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DOI: 10.1287/mnsc.43.3.371
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- Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering.
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Keywords
equity risk premium; predictability; nonlinearity; nonparametric;All these keywords.
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