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Asymmetric adjustment from structural booms and slumps

Siklos, Pierre L. - In: Economics letters 77 (2002) 3, pp. 329-333

Persistent link: https://www.econbiz.de/10001711495

Stock price effects of permanent and transitory shocks

Crowder, William J. - In: Economic inquiry : journal of the Western Economic … 36 (1998) 4, pp. 540-552

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Implied volatility in options markets and conditional heteroscedasticity in stock markets

Choi, Seung-mook S. - In: The financial review : the official publication of the … 27 (1992) 4, pp. 503-530

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Why are stock prices so high? : Dividend growth or discount factor?

Balke, Nathan S.; Wohar, Mark E. - 2000

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Valuation ratios and long-horizon stock price predictability

Rapach, David E.; Wohar, Mark E. - In: Journal of applied econometrics 20 (2005) 3, pp. 327-344

Persistent link: https://www.econbiz.de/10002807202

Low-frequency movements in stock prices : a state-space decomposition

Balke, Nathan S.; Wohar, Mark E. - In: The review of economics and statistics 84 (2002) 4, pp. 649-667

Persistent link: https://www.econbiz.de/10001711215

Explaining stock price movements : is there a case for fundamentals?

Balke, Nathan S.; Wohar, Mark E. - In: Economic & financial review (2001) 3, pp. 22-34

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Abnormal profits and relative strength in mutual fund returns

Volkman, David A. - In: Review of financial economics : RFE 5 (1996) 2, pp. 101-116

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What drives stock prices? : Identifying the determinants of stock price movements

Balke, Nathan S.; Wohar, Mark E. - In: Southern economic journal 73 (2006) 1, pp. 55-78

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Chapter 10 Forecasting Stock Return Volatility in the Presence of Structural Breaks

Rapach, David E.; Strauss, Jack K.; Wohar, Mark E. - In: Forecasting in the presence of structural breaks and …, (pp. 381-416). 2008

We examine the role of structural breaks in forecasting stock return volatility. We begin by testing for structural breaks in the unconditional variance of daily returns for the S&P 500 market index and ten sectoral stock indices for 9/12/1989–1/19/2006 using an iterative cumulative sum of...

Persistent link: https://www.econbiz.de/10015382994