Zhou, Chunsheng; Qing, Chang - In: Journal of Financial Research 23 (2000) 4, pp. 523-44
In this article we propose a new parsimonious state-space model in which state variables characterize the stochastic movements of stock returns. Using the equally weighted and decile monthly stock returns, we show that (a) a parsimonious state-space model characterizes the variation in expected...