Do bubbles and time-varying risk premiums affect stock prices? : A Kalman filter approach
Year of publication: |
2000
|
---|---|
Authors: | Chen, Lii-tarn ; Hueng, C. James ; Lin, Chien-fu Jeff |
Published in: |
Global business & economics review. - Olney, Bucks : Inderscience Enterprises, ISSN 1097-4954, ZDB-ID 2054200-8. - Vol. 2.2000, 2, p. 159-171
|
Subject: | Börsenkurs | Share price | Risikoprämie | Risk premium | Spekulationsblase | Bubbles | Modellierung | Scientific modelling | Schätzung | Estimation | USA | United States | Zustandsraummodell | State space model | 1926-1997 |
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