We empirically investigate the predictive power of the various components affecting correlations that have been recently introduced in the literature. We focus on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover,...

This paper uses a multivariate regime-switching framework to investigate and endogenously date changes in return characteristics on the four largest Nordic stock markets. We find that the deregulated time-period, specifically after 1982, is associated with higher expected return, higher...

Using only aggregate sales data, the model we propose decomposes the diffusion processes of the respective technological generations and tests if different technological generations have different diffusion parameters. It also estimates the location of the generational transition from the old to...

Using only aggregate sales data, the model we propose decomposes the diffusion processes of the respective technological generations and tests if different technological generations have different diffusion parameters. It also estimates the location of the generational transition from the old to...