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Publication Year:
1996
Journals:
Journal of Applied Econometrics
Formats:
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James D. Hamilton
;
Gang Lin
Stock market volatility and the business cycle (replication data)
This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by...
DOI:10.15456/jae.2022313.1255876714
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