A Markov model of heteroskedasticity, risk, and learning in the stock market☆
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Advice from the referee, James D. Hamilton, and the editor, G. William Schwert, both substantive and expositional, is gratefully acknowledged. Thanks also to Wing Suen and Walter Fisher for valuable criticism of earlier drafts. Of course, any remaining errors remain the responsibility of the authors. Nelson's participation was sponsored in part by the Center for the Study of Banking and Security Markets, University of Washington. The opinions expressed in this paper are those of the authors, not those of the Federal Reserve System.
Copyright © 1989 Published by Elsevier B.V.