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future realized volatility. I use an analytical framework to identify accounting-based drivers of equity returns volatility …. My main hypothesis is accounting-based drivers can be used to forecast future volatility incremental to either past … evidence that contradicts a risk-based explanation for the incremental predictive ability of accounting-based variables. Taken …
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This paper details efforts at developing and estimating a Vector Autoregressive (VAR) econometric model representative of the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where...
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