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Measuring the temporary component of stock prices : robust multivariate analysis
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Gallagher, Liam A. and Taylor, Mark P. (2000) Measuring the temporary component of stock prices : robust multivariate analysis. Economics Letters, 67 (2). pp. 193-200. doi:10.1016/S0165-1765(99)00258-X ISSN 0165-1765.
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Official URL: http://doi.org/10.1016/S0165-1765(99)00258-X
Abstract
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. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G14; C15.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions | ||||
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Economics Letters | ||||
| Publisher: | Elsevier | ||||
| ISSN: | 0165-1765 | ||||
| Official Date: | 2000 | ||||
| Dates: |
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| Volume: | 67 | ||||
| Number: | 2 | ||||
| Number of Pages: | 8 | ||||
| Page Range: | pp. 193-200 | ||||
| DOI: | 10.1016/S0165-1765(99)00258-X | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published |
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