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The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, María A. - Asociación Española de Economía y Finanzas … - 2013
on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed … cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing …
Persistent link: https://www.econbiz.de/10010856699
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The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, María A. - Departament d'Estructura Econòmica, Facultad de Economía - 2013
on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed … cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing …
Persistent link: https://www.econbiz.de/10010604097
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The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010
Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, María A. - Instituto Universitario de Análisis Económico y … - 2013
on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed … cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrating …
Persistent link: https://www.econbiz.de/10010855119
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The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010
Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, Maria A. - Departament d'Estructura Econòmica, Facultad de Economía - 2010
instability tests recently proposed in Kejriwal and Perron (2009) as well as the cointegration test in Arai and Kurozumi (2007 …) and Kejriwal (2008) developed to allow for multiple breaks under the null hypothesis of cointegration. …
Persistent link: https://www.econbiz.de/10010616551
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The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010
Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, María A. - In: International Review of Economics & Finance 25 (2013) C, pp. 24-34
instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed in Arai and … Kurozumi (2007) and Kejriwal (2008). The results obtained are consistent with the existence of linear cointegration between the …
Persistent link: https://www.econbiz.de/10011048276