On the relationship between the conditional mean and volatility of stock returns
Subtitle: a latent VAR approach
By: Michael W. Brandt, Qiang Kang.
Contributors: Kang, Qiang.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 9056; Working paper series (National Bureau of Economic Research) -- working paper no. 9056.
Publisher: National Bureau of Economic Research
Published: 2002
Place of publication: Cambridge, MA
Language: eng
Number of pages: 49
Subjects: Stocks -- Prices.; Rate of return.
Notes: "July 2002."

JEL no. G10, G12, C13, C23.

Includes bibliographical references (p. 33-37).

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