FRÖMMEL, M.; KRUSE, R. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2011
We analyze the time series properties of the S&P500 dividend-price ratio in the light of long memory, structural breaks … of fractional integration in the S&P500 log dividend-price ratio and on the other hand they are consistent with the … existence of a rational bubble. The result of a changing memory parameter in the dividend-price ratio has an important …