Level shifts in stock returns driven by large shocks
Yiannis Dendramis; George Kapetanios; Elias Tzavalis
| Year of publication: |
2014
|
|---|---|
| Authors: | Dendramis, Yiannis ; Kapetanios, George ; Tzavalis, Elias |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 41-51
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| Subject: | Expected returns | Level shifts | Large shocks | State space model | Regime-shifts | Threshold models | Schock | Shock | Kapitaleinkommen | Capital income | Zustandsraummodell | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Theorie | Theory | Kapitalmarktrendite | Capital market returns | Börsenkurs | Share price | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011300506