Volatility Dynamics, Return Predictability, and Leverage in the Campbell-Cochrane Model
The article critiques the Campbell and Cochrane 1999 habit model, arguing it doesn't account for increased volatility during recessions, and proposes a model with cyclical leverage.
Featured in No. 11 on 9 Aug 2023 · 4 days after release · 0 citations today
- Released
- 5 Aug 2023
- First featured
- No. 11 · 9 Aug 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
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- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4532711
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