Heterogeneity in stock prices: A STAR model with multivariate transition function
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DOI: 10.1016/j.jedc.2012.06.006
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Citations
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Cited by:
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More about this item
Keywords
Asset pricing; Heterogeneous beliefs; Smooth-transition autoregression;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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