Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of Empirical Finance 29 (2014) C, pp. 41-51
This paper employs a parametric model of persistent (level) shifts in the conditional mean of stock market returns which are endogenously driven by large positive or negative return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime changes and/or...