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Growth states and shocks
Startz, Richard - In: Journal of economic growth 3 (1998) 3, pp. 203-215
Persistent link: https://www.econbiz.de/10001254785
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Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10001374883
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Permanent and transitory components of business cycles : their relative importance and dynamic relationship
Kim, Chang-jin; Piger, Jeremy Max; Startz, Richard - 2001
Persistent link: https://www.econbiz.de/10001580220
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Estimation of Markov regime-switching regression models with endogenous switching
Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001979877
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The dynamic relationship between permanent and transitory components of U.S. business cycles
Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource].
Persistent link: https://www.econbiz.de/10001965211
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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
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Estimation of Markov regime-switching regression models with endogenous switching
Kim, Chang-jin; Piger, Jeremy Max; Startz, Richard - In: Journal of econometrics 143 (2008) 2, pp. 263-273
Persistent link: https://www.econbiz.de/10003722601
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The dynamic relationship between permanent and transitory components of US business cycles
JKim, Chang-jin; Piger, Jeremy Max; Startz, Richard - In: Journal of money, credit and banking : JMCB 39 (2007) 1, pp. 187-204
Persistent link: https://www.econbiz.de/10003429973
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A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market
Turner, Christopher M. - 1989
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/10012476239
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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