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Chang-Jin Kim
;
Myung Jig Kim
Transient fads and the crash of ′87 (replication data)
Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock...
DOI:10.15456/jae.2022313.1132436031
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