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A Markov model of heteroskedasticity, risk, and learning in the stock market

Turner, Christopher M.; Startz, Richard; Nelson, Charles R. - 1989

Persistent link: https://www.econbiz.de/10000760001

A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market

Turner, Christopher M. - 2010

Risk premia in the stock market are assumed to move with time varying risk. We present a model in which the variance of time excess return of a portfolio depends on a state variable generated by a first-order Markov process. A model in which the realization of the state is known to economic...

Persistent link: https://www.econbiz.de/10012762762

Growth states and shocks

Startz, Richard - In: Journal of economic growth 3 (1998) 3, pp. 203-215

Persistent link: https://www.econbiz.de/10001254785

Has the US economy become more stable? : A Bayesian approach based on a Markov-switching model of the business cycle

Kim, Chang-jin; Nelson, Charles R. - In: The review of economics and statistics 81 (1999) 4, pp. 608-616

Persistent link: https://www.econbiz.de/10001437350

Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?

Kim, Chang-jin; Morley, James C.; Nelson, Charles R. - In: Journal of empirical finance 8 (2001) 4, pp. 403-426

Persistent link: https://www.econbiz.de/10001607064

A Bayesian approach to testing for Markov-switching in univariate and dynamic factor models

Kim, Chang-jin; Nelson, Charles R. - In: International economic review 42 (2001) 4, pp. 989-1013

Persistent link: https://www.econbiz.de/10001624477

Markov regime-switching and unit root tests

Nelson, Charles R.; Piger, Jeremy Max; Zivot, Eric - 2000

Persistent link: https://www.econbiz.de/10001522145

The great depression and output persistence

Murray, Christian J.; Nelson, Charles R. - In: Journal of money, credit and banking : JMCB 34 (2002) 4, pp. 1090-1098

Persistent link: https://www.econbiz.de/10001710472

Markov regime switching and unit-root tests

Nelson, Charles R.; Piger, Jeremy Max; Zivot, Eric - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 4, pp. 404-415

Persistent link: https://www.econbiz.de/10001646353

Markov regime switching and unit root tests

Nelson, Charles R. (contributor); Zivot, Eric (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001965291