New York, NY 10027
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New York, NY 10016-4309
Columbia Business School - Finance and Economics
in Total Papers Downloads
in Total Papers Citations
Systematic risk, stochastic volatility, idiosyncratic volatility
idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion
contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics
idiosyncratic volatility, Fama-MacBeth regression
Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration
International diversification, correlation dynamics, country debate, factor models, comovements
Conditional CAPM, overlapping data inference
Exchange rates, interest rates, bond returns, multi-country models
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