Akdeniz, Levent; Salih, Aslıhan Altay; Ok, Süleyman Tuluğ - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 433-444
This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555–574] and of Shiller [Do stock prices move too much to be justified by subsequent changes...