Similar Search Results - EconBiz

Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model

Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012

This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...

Persistent link: https://www.econbiz.de/10014043638

Essays in applied econometrics

Hassett, Kevin A. - 1989

Persistent link: https://www.econbiz.de/10000832497

Multiple trend breaks and the unit-root hypothesis

Lumsdaine, Robin L. - In: The review of economics and statistics 79 (1997) 2, pp. 212-218

Persistent link: https://www.econbiz.de/10001222493

Do measures of monetary policy in a VAR make sense?

Rudebusch, Glenn D. - In: International economic review 39 (1998) 4, pp. 907-931

Persistent link: https://www.econbiz.de/10001338808

Budget deficits and interest rates : Ricardian equivalence revisited

Caporale, Guglielmo Maria; Pittis, Nikitas; … - 1997

Persistent link: https://www.econbiz.de/10000962390

Estimation of continuous-time models for stock returns and interest rates

Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168

Persistent link: https://www.econbiz.de/10001337436

Unit roots and long-run causality : investigating the relationship between output, money and interest rates

Caporale, Guglielmo Maria - In: Economic modelling 15 (1998) 1, pp. 91-112

Persistent link: https://www.econbiz.de/10001247848

Gaussian estimation of a two-factor continuous time model of the short-term interest rate

Bergstrom, A. R.; Nowman, K. B. - In: Economic notes : economic review of Banca Monte dei … 28 (1999) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10001371828

A comparison of time-varying parameter and multiprocess mixture models in the case of money-supply announcements

Lesage, James P. - In: Journal of business & economic statistics : JBES ; a … 10 (1992) 2, pp. 201-211

Persistent link: https://www.econbiz.de/10001124465

Estimating continuous-time stochastic volatility models of the short-term interest rate

Andersen, Torben - In: Journal of econometrics 77 (1997) 2, pp. 343-377

Persistent link: https://www.econbiz.de/10001212838

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