A new approach to estimating value-income ratios with income growth and time-varying yields

DOI10.1016/J.EJOR.2014.09.046MaRDI QIDQ726246zbMATH OpenOpenAlexFDO

Authors Peijie Wang, Steven Brand

Publication date 8 July 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2014.09.046

zbMATH Keywords

income growthpresent value modeltime-varying yieldvalue-income ratio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• A simulation-based approach to the study of coefficient of variation of dividend yields
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Financial econometrics. Methods and models
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Statistical analysis of cointegration vectors
• Testing for a unit root in time series regression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Cited in

(1)

• Dynamic analysis of the effects of mortgage-lending policies in a real estate market

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