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Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis
Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008
Persistent link: https://www.econbiz.de/10003787630
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Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis
Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008
investigate different identification schemes for bi-variate systems comprising U.S. stock prices and total factor productivity …. The former variable is viewed as reflecting expectations of economic agents about future productivity. It is found that … used for total factor productivity. -- Cointegration ; Markov regime switching model ; vector error correction model …
Persistent link: https://www.econbiz.de/10003751230
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Security prices as Markov Processes : some evidence on the random character of stock prices in the Nigeria Bourse
Idolor, E. J.; Okoro, O.; Braimah, A. G. - In: Accounting and taxation review : A&TR 2 (2018) 1, pp. 136-151
Persistent link: https://www.econbiz.de/10012203076
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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Portfolio optimization under partial information and convex constraints in a hidden Markov model
Sass, Jörn - In: Operations research proceedings 2005 : selected papers …, (pp. 223-228). 2006
Persistent link: https://www.econbiz.de/10003347537
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
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Stochastic processes in finance
Madan, Dilip B. - In: Annual review of financial economics 2 (2010), pp. 277-314
Persistent link: https://www.econbiz.de/10008797755
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The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
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Dynamik der Zielaktie bei Unternehmensübernahmen und die subjektive Wahrscheinlichkeit des Übernahmeerfolges
Gelʹman, Sergej V. - 2007
Persistent link: https://www.econbiz.de/10003516923