Switching equilibria: the present value model for stock prices revisited

DOI10.1016/J.JEDC.2003.10.006MaRDI QIDQ953718zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3941216 (Why is no real title available?)
• scientific article; zbMATH DE number 3744363 (Why is no real title available?)
• scientific article; zbMATH DE number 3537122 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Dividend Variability and Stock Market Swings
• Optimal Properties of Exponentially Weighted Forecasts
• Present value models with feedback
• Simulation estimation of time-series models
• Testing for a unit root in time series regression

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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