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http://journals.cambridge.org/action/displayAbstract?aid=51889
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John Y. Campbell,
Andrew W. Lo,
A. Craig MacKinlay
and Robert F. Whitelaw
(1998).
THE ECONOMETRICS OF FINANCIAL MARKETS. Macroeconomic Dynamics, 2
,
pp 559-562
doi:10.1017/S1365100598009092