Level shifts in stock returns driven by large shocks
Year of publication: |
2014
|
---|---|
Authors: | Dendramis, Yiannis ; Kapetanios, George ; Tzavalis, Elias |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 29.2014, C, p. 41-51
|
Publisher: |
Elsevier |
Subject: | Expected returns | Level shifts | Large shocks | State space model | Regime-shifts | Threshold models |
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