๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Some statistical models for durations and an application to News Corporation stock prices

โœ Scribed by Shelton Peiris; David Allen; Wenling Yang


Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
82 KB
Volume
68
Category
Article
ISSN
0378-4754

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


On Markov error-correction models, with
โœ Zacharias Psaradakis; Martin Sola; Fabio Spagnolo ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 182 KB

## Abstract This paper considers Markov errorโ€correction (MEC) models in which deviations from the longโ€run equilibrium are characterized by different rates of adjustment. To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the lo

An iterated GMM procedure for estimating
โœ Tom Engsted; Stig V. Mรธller ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 222 KB

## Abstract We suggest an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and Cochrane, and we apply the approach on annual and quarterly Danish stock and bond returns. For comparative purposes we also estimate and test the standard constant rela