Expectation revisions and jumps in asset prices

DOI10.1016/S0165-1765(98)00071-8MaRDI QIDQ1128939zbMATH OpenWikidataFDO

Authors Hans Dewachter, Dirk Veestraeten

Publication date 13 August 1998

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

jumpsMarkov switchingasset pricesexpectation revisions

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Conditional Heteroskedasticity in Asset Returns: A New Approach

Cited in

(2)

• Fundamentals and asset price dynamics
• Strategy switching in the Japanese stock market

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