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Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash
This paper reassesses the role of economic fundamentals in the 1987 stock market crash using a two factor common-component model of returns. The model decomposes returns into idiosyncratic components, a common white noise component, and a common source of Poisson jumps. Among three two-year sample p
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