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Maximizing Equity Market Sector Predictability in a Bayesian Time Varying Parameter Model* - page 31 / 46

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Roll, Richard, 1977, “A Critique of the Asset Pricing Theory’s Tests, Part I: On Past and Potential Testability of the Theory,” Journal of Financial Economics 4, 129-176.

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Turner, Christopher M, Richard Startz and Charles R. Nelson, “A Markov Model of Heteroskadasticity, Risk and Learning in the Stock Market,Journal of Financial Economics, 25, 3-22.

Wu Xueping, 2002, “A Conditional Multifactor Analysis of Return Momentum,” Journal of Banking and Finance 26, 1675-1696.

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