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Systematic risk, stochastic volatility, idiosyncratic volatility
idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8149.
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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
File name: SSRN-id954734.
International diversification, correlation dynamics, country debate, factor models, comovements
currency carry trade, currency risk factors, market efficiency
Conditional CAPM, overlapping data inference
File name: DP3056.
Exchange rates, interest rates, bond returns, multi-country models
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