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Modeling shocks in long-term equity returns
(15.03.2009)
Finanssivalvonta. Tutkimukset 1/2009
Finanssivalvonta. Tutkimukset 1/2009
In this paper we develop a model for equity returns that is aimed at long-term forecasting and risk management applications. We first analyse the yearly S&P 500 total return index data and review some common models for ...