Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities.

Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability distribution and higher order moments of stock returns.

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Year of publication:	2001
Authors:	Perez-Quiros, G. ; Timmermann, A.
Institutions:	Quebec a Montreal - Recherche en gestion
Subject:	BUSINESS CYCLES \| ECONOMIC MODELS

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Series:	Quebec a Montreal - Recherche en gestion.
Type of publication:	Book / Working Paper
Notes:	55 pages
Classification:	E32 - Business Fluctuations; Cycles ; E30 - Prices, Business Fluctuations, and Cycles. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634484