Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework
| Year of publication: |
2004
|
|---|---|
| Authors: | Bhar, Ramaprasad ; Hamori, Shigeyuki |
| Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 82.2004, 2, p. 157-165
|
| Publisher: |
Elsevier |