Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables
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More about this item
KeywordsBusiness cycles; CAPM; Fama-French model; Liquidity; Rolling GMM; Robust instruments;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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