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Simulating stock returns under switching regimes: A new test of market efficiency

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A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.

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Modelling the UK economy : an introduction

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Alan Walters and the demand for money : an empirical retrospective

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Simulating stock returns under switching regimes ; a new test of market efficiency

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Persistent link: https://www.econbiz.de/10003322804

Support for governments and leaders : fractional cointegration analysis of poll evidence from the UK, 1960-2004

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Simulating stock returns under switching regimes - a new test of market efficiency

Meenagh, David; Minford, Patrick; Peel, David - In: Economics letters 94 (2007) 2, pp. 235-239

Persistent link: https://www.econbiz.de/10003417284

The forward premium puzzle in the interwar period and deviations from covered interest parity

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Systematic sampling of nonlinear models : evidence on speed of adjustment in index futures markets

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The long memory model of political support : some further results

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