Similar Search Results

Valid confidence intervals and inference in the presence of weak instruments

Zivot, Eric - In: International economic review 39 (1998) 4, pp. 1119-1144

Persistent link: https://www.econbiz.de/10001338783

Mean reversion in stock prices? : a reappraisal of the empirical evidence

Kim, Myung-jig - In: The review of economic studies 58 (1991) 4, pp. 515-528

Persistent link: https://www.econbiz.de/10001114320

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

Turner, Christopher M. - In: Journal of financial economics 25 (1989) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10001086147

The distribution of the instrumental variables estimator and its t-ratio when the instrument is a poor one

Nelson, Charles R. - In: The journal of business : B 63 (1990) 1

Persistent link: https://www.econbiz.de/10001274009

Mean reversion in stock price? : a reappraisal of the empirical evidence

Kim, Myung-jig - In: Kyŏngje-yŏn'gu 11 (1990) 1, pp. 261-293

Persistent link: https://www.econbiz.de/10001095430

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

Spurious trend and cycle in the state space decomposition of a time series with a unit root

Nelson, Charles R. - 1987

Persistent link: https://www.econbiz.de/10000762599

A reappraisal of recent tests of the permanent income hypothesis

Nelson, Charles R. - 1985

Persistent link: https://www.econbiz.de/10000686628

Spurious trend and cycle in the state space decomposition of a time series with a unit root

Nelson, Charles R. - In: Journal of economic dynamics & control 12 (1988) 2, pp. 199-607

Persistent link: https://www.econbiz.de/10001269083