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ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia

Rushdi, Mustabshira; Kim, Jae H.; Silvapulle, Paramsothy - In: Economic modelling 29 (2012) 3, pp. 535-543

Persistent link: https://www.econbiz.de/10009544884

A score test for seasonal fractional integration and cointegration

Silvapulle, Param - 1996

Persistent link: https://www.econbiz.de/10000603420

Common stocks as a hedge against inflation : evidence from century-long US data

Kim, Jae H.; Ryoo, Heajin H. - In: Economics letters 113 (2011) 2, pp. 168-171

Persistent link: https://www.econbiz.de/10009375564

Improved interval estimation of long run response from a dynamic linear model : a highest density region approach

Kim, Jae H.; Fraser, Iain M.; Hyndman, Rob J. - 2010

Persistent link: https://www.econbiz.de/10009579699

Common Stocks as a Hedge Against Inflation : Evidence from Century-Long US Data

Kim, Jae H. - 2009

We find strong evidence that U.S. common stocks have been a hedge against inflation from the early 1980's. We use monthly S&P500 and Dow-Jones Industrial indices from 1900, and test whether stock price and goods price are co-integrated over time. We find a stable long run relationship between...

Persistent link: https://www.econbiz.de/10013153024