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to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …
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easily matched, chiefly excess volatility and the presence of ARCH effects. These findings are robust to a number of details …
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"This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...
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