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- Sat Jan 24, 2015 3:39 am
- Forum: Econometric Discussions
- Topic: First Difference, Log Return
- Replies: 0
- Views: 3812
First Difference, Log Return
Hi, I am doing my research regarding the relationship of Business cycle and Equity Risk Premium, using EGARCH-in-mean model. Data are all time series. Business cycle variable is given by monthly Industrial Production (IP). Equity Risk Premium = Market Return - Risk Free Rate Market Return = Index mo...