Price dividend ratio and long-run stock returns: A score driven state space model
Year of publication: |
2020
|
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Authors: | Delle Monache, Davide ; Petrella, Ivan ; Venditti, Fabrizio |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | State space models | time-varying parameters | score-driven models | equitypremium | present-value models |
Series: | ECB Working Paper ; 2369 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-92-899-4012-2 |
Other identifiers: | 10.2866/699185 [DOI] 1689275154 [GVK] hdl:10419/228983 [Handle] RePEc:ecb:ecbwps:20202369 [RePEc] |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; E31 - Price Level; Inflation; Deflation |
Source: |
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
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