Stock Market Analysis through Business Cycle Approach
نویسندگان
چکیده
منابع مشابه
Business Cycle and Stock Market Volatility: A Particle Filter Approach
The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by estimating a Markov switching stochastic volatility model. We propose a sequential Monte Carlo technique for...
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ژورنال
عنوان ژورنال: Verslas: teorija ir praktika
سال: 2012
ISSN: 1648-0627,1822-4202
DOI: 10.3846/btp.2012.04