The Conditional Relationship between Risk Premium and Permanent and Transitory Volatility Component: The Effect of Extreme Movements

Korean Journal of Financial Studies 2006;35(2):139-176.
Published online April 30, 2006.

The Conditional Relationship between Risk Premium and Permanent and Transitory Volatility Component: The Effect of Extreme Movements

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Key Words: Extreme movements,Permanent volatility,Risk premium,Rolling window estimator,Transitory volatility

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