Measuring the temporary component of stock prices: robust multivariate analysis

DOI10.1016/S0165-1765(99)00258-XzbMATH Open0948.91027MaRDI QIDQ1978571FDOQ1978571

Authors: Liam A. Gallagher, Mark P. Taylor 

Publication date: 4 June 2000

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

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zbMATH Keywords

robust estimationmean reversionstock pricespermanent-temporary decomposition

Mathematics Subject Classification ID

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

Cites Work

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• 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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