Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
AbstractThe authors study the process for the conditional mean of vector linear processes, which nest many models of interest. They also consider the joint process for a variable and its mean conditional on a multivariate information set. The authors compare the persistence of shocks to stationary variables and their means using impulse response functions. An empirical application suggests that U.S. real stock returns are close to white noise, while expected returns follow an AR(1) with high autocorrelation. The authors also find that unexpected variations in expected returns immediately produce large negative observed returns, thereafter compensated by slowly diminishing increments on expected returns. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 39 (1998)
Issue (Month): 4 (November)
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Web page: http://www.econ.upenn.edu/ier
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- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997. "Conditional means of time series processes and time series processes for conditional means," Working Papers. Serie AD 1997-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Fiorentini, G & Sentana, E, 1996. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Papers 9617, Centro de Estudios Monetarios Y Financieros-.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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- René Garcia & Éric Renault, 1999.
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- GARCIA, René & RENAULT, Éric, 2000. "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Universite de Montreal, Departement de sciences economiques.
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