Tawadros, George B.; Moosa, Imad A. - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-17
In this paper, a structural time series model is estimated to analyse the effect of quantitative easing (QE) on stock prices for the US, UK and Japan. The model is estimated by maximum likelihood in a time-varying parametric framework, using the DJIA, S&P500, NASDAQ, FTSE100 and the NIKKEI225 as...
