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Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...
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We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …
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We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …
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