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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
Jong Won Park
The Conditional Relationship between Risk Premium and Permanent and Transitory Volatility Component: The Effect of Extreme Movements
박종원
Key Words: Extreme movements,Permanent volatility,Risk premium,Rolling window estimator,Transitory volatility
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