Measuring the temporary component of stock prices: robust multivariate analysis
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- Myung Jig Kim & Charles R. Nelson & Richard Startz, 1991.
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- Robert J. Shiller & Andrea E. Beltratti, 1990. "Stock Prices and Bond Yields: Can Their Co-Movements Be Explained in Terms of Present Value Models?," Cowles Foundation Discussion Papers 953, Cowles Foundation for Research in Economics, Yale University.
- Robert J. Shiller & Andrea E. Beltratti, 1990. "Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models?," NBER Working Papers 3464, National Bureau of Economic Research, Inc.
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- Peter C.B. Phillips & James W. McFarland & Patrick C. McMahon, 1994.
"Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's,"
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1080, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
- James M. Poterba & Lawrence H. Summers, 1987.
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- Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
- Im, K.S., 1996. "Least Square Approach to Non-Normal Disturbances," Cambridge Working Papers in Economics 9603, Faculty of Economics, University of Cambridge.
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