Breaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270-2016 - the entire economic history of the U.K. Focusing on permanent and transitory shocks in the economy, we study the fluctuation in conditional volatilities and...

This paper proposes a latent factor approach based on a state-space framework in order to identify which factor, if any, dominates price fluctuations in the Chinese stock markets. We also illustrate the connection of such stock price decomposition with several general equilibrium asset pricing...