Bayesian Multi-Factor Model of Instability in Prices and Quantities of Risk in U.S. Financial Markets

Author:

Guidolin Massimo,Ravazzolo Francesco,Tortora Andrea Donato

Publisher

Elsevier BV

Reference41 articles.

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4. A Capital Asset Pricing Model with Time-Varying Covariances;T Bollerslev;Journal of Political Economy,1988

5. The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?;M Brandt;Review of Financial Studies,2008

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