State dependent models of stock returns
نویسندگان
چکیده
منابع مشابه
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State-space or latent-variable models for stock prices specify a process for expected returns and expected and unexpected dividend growth, and then derive dividend yields and returns from a present value relations. They are a useful structure for understanding and interpreting forecasting relations. In this note, I connect state-space representations with their observable counterparts, and VAR/...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 1992
ISSN: 0898-1221
DOI: 10.1016/0898-1221(92)90184-j