Measuring the temporary component of stock prices: robust multivariate analysis

DOI10.1016/S0165-1765(99)00258-XMaRDI QIDQ1978571zbMATH OpenFDO

Authors Liam A. Gallagher, Mark P. Taylor

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

robust estimationmean reversionstock pricespermanent-temporary decomposition

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 45973 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Periodically collapsing stock price bubbles: A robust test

Cited in

(5)

• Analyzing heterogeneous stock price comovements through hybrid approaches
• Identifying permanent and temporary components in daily and monthly Japanese stock prices
• Firms' fundamentals, macroeconomic variables and quarterly stock prices in the US
• Multivariate estimates of the permanent components of GNP and stock prices
• Stock return and inflation: an analysis based on the state-space framework

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