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Sequential parameter nonstationarity in stock market returns
Authors:Dongcheol Kim  Stanley J Kon
Institution:(1) Department of Finance, School of Business, Rutgers University, 08903 New Brunswick, NJ, USA;(2) Department of Finance, School of Business Administration, University of Michigan, 48109 Ann Arbor, MI, USA
Abstract:
Keywords:parameter nonstationarity  change points  stock return distribution  model comparisons
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