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Macroeconomic determinants of stock market volatility and volatility risk premiums Primitive, explanation of volatility risk#premia egarch-m, time. Corradi, Valentina, Distaso, Walter and Mele, Antonio 2009 Macroeconomic determinants of stock market volatility and volatility risk-premiums. Keywords Macroeconomic Variables, Garch, Var, Stock. Economists and policy makers have been concerned with the causes of stock market return volatility.
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