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Does a currency union affect trade? : The time series evidence

Glick, Reuven (contributor); Rose, Andrew (contributor) - 2001 - [Elektronische Ressource]

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Estimating dynamic rational expectations models when the trend specification is uncertain

Cogley, Timothy - 1996

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Maximum likelihood estimation with HP filtered data : an invariance theorem

Cogley, Timothy - 1994

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Lock-in of extrapolative expectations in an asset pricing model

Lansing, Kevin J. (contributor) - 2004 - [Elektronische Ressource]

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Evaluating interest rate covariance models within a value-at-risk framework

Ferreira, Miguel A. (contributor); … - 2004 - [Elektronische Ressource], rev

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Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data

Walter, Christian (contributor); … - 2000 - [Elektronische Ressource]

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Evaluating covariance matrix forecasts in a value-at-risk framework

García López, José A. (contributor); … - 2000 - [Elektronische Ressource]

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Term premia and interest rate forecasts in affine models

Duffee, Greg (contributor) - 2000 - [Elektronische Ressource]

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Forecasting industrial production using models with business cycle asymmetry

Huh, Chan-guk - 1993

Persistent link: https://www.econbiz.de/10000898542

Rational and near-rational bubbles without drift

Lansing, Kevin J. - Federal Reserve Bank of San Francisco - 2007

This paper derives a general class of intrinsic rational bubble solutions in a standard Lucas-type asset pricing model. I show that the rational bubble component of the price-dividend ratio can evolve as a geometric random walk without drift. The volatility of bubble innovations depends...

Persistent link: https://www.econbiz.de/10005361472