Expectation revisions and jumps in asset prices

DOI10.1016/S0165-1765(98)00071-8zbMATH Open0906.90033WikidataQ126324054 ScholiaQ126324054MaRDI QIDQ1128939FDOQ1128939

Authors: Hans Dewachter, Dirk Veestraeten 

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

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zbMATH Keywords

jumpsMarkov switchingasset pricesexpectation revisions

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Title not available (Why is that?)

Cited In (2)

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

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