Inference for stochastic bubble trend in stock price under the error correction model
Year of publication: |
2014
|
---|---|
Authors: | Kim, Yun-yeong |
Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 43.2014, 3, p. 384-406
|
Subject: | Stock price | Stochastic bubble trend | Error correction model | Beveridge-Nelson decomposition | Projection | Theorie | Theory | Börsenkurs | Share price | Kointegration | Cointegration | Spekulationsblase | Bubbles | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
-
Dynamic analyses for transmission between asset bubble trends of accumulated co-integration errors
Kim, Yun-Yeong, (2016)
-
Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton, (2014)
-
Asymmetric adjustment, non-linearity and housing price bubbles : New international evidence
Xie, Zixiong, (2019)
- More ...
-
Testing purchasing power parity in transformed ECM with nonstationary disequilibrium error
Kim, Yun-yeong, (2008)
-
Identification of momentum and disposition effects through asset return volatility
Kim, Yun-yeong, (2010)
-
Kim, Yun-yeong, (2011)
- More ...