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Estimation of time-varying risk premia on stock market indices and exchange rates pricing macroeconomic variables : a multivariate GARCH-in-mean approach

Sørensen, Steffen (2004) Estimation of time-varying risk premia on stock market indices and exchange rates pricing macroeconomic variables : a multivariate GARCH-in-mean approach. PhD thesis, University of York.

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Item Type: Thesis (PhD)
Academic Units: The University of York > Economics and Related Studies (York)
Identification Number/EthosID: uk.bl.ethos.416219
Depositing User: EThOS Import (York)
Date Deposited: 19 Feb 2016 17:08
Last Modified: 19 Feb 2016 17:08
URI: http://etheses.whiterose.ac.uk/id/eprint/10957

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