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Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis

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Academic year: 2020

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Figure

Table 2: Parametric Model EstimatesThis table reports posterior summary statistics for the parametric model:
Figure 2: Expected excess return given log realized variance for the parametric modelThis figure displays the expected excess return and 0.90 density intervals as a function of log realized
Figure 3: Expected return given log realized variance for each of the information setsIt−1, t = 2,
Figure 5: Expected excess return given log realized variance for the information set Iconditional on regressor in the information set fromperiod
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