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Switching equilibria: the present value model for stock prices revisited

  • Gutierrez, Maria-Jose
  • Vazquez, Jesus

Also published as DFAE-II Working Paper 2002-26 and as an article in: Journal of Economic Dynamics and Control, 2004, vol. 28, issue 11, pages 2297-2325

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File URL: http://www.sciencedirect.com/science/article/B6V85-4BNMK75-2/2/26a02dec6a158bb7f8fbc04a39f31f18
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 11 (October)
Pages: 2297-2325

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Handle: RePEc:eee:dyncon:v:28:y:2004:i:11:p:2297-2325
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  2. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February.
  3. Driffill, John & Sola, Martin, 1998. "Intrinsic bubbles and regime-switching," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 357-373, July.
  4. Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De.
  5. Chow, G.C., 1988. "Rational Versus Adaptive Expectations In Present Value Models," Papers 328, Princeton, Department of Economics - Econometric Research Program.
  6. John H. Cochrane, 1991. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc.
  7. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
  8. Evans, Martin D D, 1998. "Dividend Variability and Stock Market Swings," Review of Economic Studies, Wiley Blackwell, vol. 65(4), pages 711-40, October.
  9. Kenneth D. West, 1986. "Dividend Innovations and Stock Price Volatility," NBER Working Papers 1833, National Bureau of Economic Research, Inc.
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