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Asymmetric temporary and permanent stock-price innovations

  • Shively, Philip A.
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    File URL: http://www.sciencedirect.com/science/article/pii/S0927-5398(06)00042-9
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 14 (2007)
    Issue (Month): 1 (January)
    Pages: 120-130

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    Handle: RePEc:eee:empfin:v:14:y:2007:i:1:p:120-130
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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    38. Pandey, Vivek & Kohers, Theodor & Kohers, Gerald, 1998. "Deterministic Nonlinearity in the Stock Returns of Major European Equity Markets and the United States," The Financial Review, Eastern Finance Association, vol. 33(1), pages 45-63, February.
    39. Shively, Philip A, 2000. "Stationary Components in Stock Prices: An Exact Pointwise Most Powerful Invariant Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 489-96, October.
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