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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
Home
Publications
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
LG
Lawrence R. Glosten
Lawrence R. Glosten
RJ
Ravi Jagannathan
Ravi Jagannathan
DR
David E. Runkle
David E. Runkle
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1 December 1993
journal article
Published by
JSTOR
in
The Journal of Finance
Vol. 48
(5)
,
1779-1801
https://doi.org/10.2307/2329067
Abstract
No abstract available
Keywords
STOCKS
CONDITIONAL VOLATILITY
GARCH
MONTHLY RETURN
CONDITIONAL VARIANCE
UNANTICIPATED RETURNS
Cited by 1762 articles