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The asymmetric effect of the business cycle on the relation between stock market returns and their volatility

Peter Smith (), Steffen Sorensen () and Michael Wickens

Money Macro and Finance (MMF) Research Group Conference 2005 from Money Macro and Finance Research Group

Date: 2005-09-03
New Economics Papers: this item is included in nep-fmk and nep-mac
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http://repec.org/mmfc05/paper47.pdf (application/pdf)

Related works:
Working Paper: THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY (2006) Downloads
Working Paper: The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility (2006) Downloads
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