On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach
Year of publication: |
2002-07
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Authors: | Brandt, Michael W. ; Kang, Qiang |
Institutions: | National Bureau of Economic Research (NBER) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | AP published as Brandt, Michael W. and Qiang Kang. "On The Relationship Between Conditional Mean And Volatility Of Stock Returns: A Latent VAR Approach," Journal of Financial Economics, 2004, v72(2,May), 217-257. Number 9056 |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing |
Source: |
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