Switching equilibria: the present value model for stock prices revisited

DOI10.1016/J.JEDC.2003.10.006zbMATH Open1202.91347OpenAlexW3023793446MaRDI QIDQ953718FDOQ953718

Authors: María-José Gutiérrez, Jesús Vázquez 

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://addi.ehu.es/handle/10810/5823

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zbMATH Keywords

feedbackmultiple equilibriacointegration and stock price volatility

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

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• Testing for a unit root in time series regression
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• Simulation estimation of time-series models
• Optimal Properties of Exponentially Weighted Forecasts
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• Present value models with feedback
• Dividend Variability and Stock Market Swings

Cited In (4)

• Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model
• A multivariate Markov chain stock model
• Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
• Novel advancements in the Markov chain stock model: analysis and inference

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