On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach
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We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a
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美国国家经济研究局创建时间：
2002-07-01
