Narayan, Paresh Kumar; Thuraisamy, Kannan S. - In: Economic Modelling 35 (2013) C, pp. 472-476
In this paper we examine the role of permanent and transitory shocks in explaining variations in the S&P 500, Dow Jones and the NASDAQ. Our modeling technique involves imposing both common trend and common cycle restrictions in extracting the variance decomposition of shocks. We find that: (1)...