Price dividend ratio and long-run stock returns : a score-driven state space model
Davide Delle Monache, Ivan Petrella, and Fabrizio Venditti
| Year of publication: |
2021
|
|---|---|
| Authors: | Delle Monache, Davide ; Petrella, Ivan ; Venditti, Fabrizio |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 39.2021, 4, p. 1054-1065
|
| Subject: | Equity premium | Present-value models | Score-driven models | State space models | Time-varying parameters | Zustandsraummodell | State space model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Dividende | Dividend | Risikoprämie | Risk premium | Volatilität | Volatility | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1763805 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012653225