Measuring the temporary component of stock prices: robust multivariate analysis
نویسندگان
چکیده
We identify the temporary and permanent components of US stock prices through appropriate restrictions on a vector autoregression of real stock returns and changes in interest rates, employing alternative robust estimation procedures designed to allow for non-Gaussian innovations. 2000 Elsevier Science S.A. All rights reserved.
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تاریخ انتشار 2000