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Journal Articles

In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less

Andrew Y. Chen, Fabian Winkler, Rebecca Wasyk
Journal: Critical Finance Review
Critical Finance Review (2021) 10 (3): 329–381.
https://doi.org/10.1561/104.00000092
Published: 02 August 2021
... and Rebecca Wasyk 2021 Andrew Y. Chen, Fabian Winkler and Rebecca Wasyk Licensed re-use rights only Long run risks Rare disasters Habit Bayesian estimation Particle filter Time-varying beliefs Time-varying preferences Excess volatility G10 G12 E21 E30 E44 C11 C15...
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