Do macroeconomic variables have regime-dependent effects on stock return dynamics? : evidence from the Markov regime switching model
Year of publication: |
2009
|
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Authors: | Chang, Kuang-Liang |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 26.2009, 6, p. 1283-1299
|
Subject: | Wirkungsanalyse | Impact assessment | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | USA | United States | 1965-2007 |
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