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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
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Duration dependence in Korean business cycles : evidence and its implication based on Gibbs sampling approach to regime-switching model
Kim, Myung-jig - In: Seoul journal of economics 9 (1996) 2, pp. 123-144
Persistent link: https://www.econbiz.de/10001229233
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Modelling business cycles via common trends - common cycles model
Kim, Myung-jig - In: Journal of economic research 2 (1997) 1, pp. 79-97
Persistent link: https://www.econbiz.de/10001243898
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A state-space model of diffusion-jump process with heteroscedasticity : estimating the daily flow of information in stock prices
Kim, Myung-jig - In: Kyŏngje-yŏn'gu 16 (1995) 2, pp. 287-305
Persistent link: https://www.econbiz.de/10001205483
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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
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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
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Some further results on the exact small sample properties of the instrumental variable estimator
Nelson, Charles R. - In: Econometrica : journal of the Econometric Society, an … 58 (1990) 4, pp. 967-976
Persistent link: https://www.econbiz.de/10001091330
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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
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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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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