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Modeling Asymmetric Comovements of Asset Returns

โœ Scribed by Kroner, K. F.; Ng, V. K.


Book ID
121712181
Publisher
Oxford University Press
Year
1998
Tongue
English
Weight
384 KB
Volume
11
Category
Article
ISSN
0893-9454

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Output and asset returns are highly positively correlated across the U.S. and the remaining major industrialized countries. Standard business cycle models that assume #exible prices and wages, in the real business cycle (RBC) tradition, have great di$culties explaining this fact. This paper presents