منابع مشابه
Have Individual Stocks Become More Volatile?
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Why do some firms create more knowledge than others? This question is typically answered in macro and industrial-organization literatures with reference to a production-function model in which new ideas spring from the interaction of researchers and the existing stock of knowledge. But there is very little empirical evidence on production functions for new ideas. In this paper we estimate knowl...
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During recession, many macroeconomic variables display higher levels of volatility. We show how introducing an AR(1)-ARCH(1) driving process into the canonical Lucas consumption CAPM framework can account for the empirically observed greater volatilty of asset returns during recessions. In particular, agents' joint forecasting of levels and time-varying second moments transforms symmetric-volat...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2012
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.2012.01749.x