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Asymmetric temporary and permanent stock-price innovations

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  • 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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    9. Turner, C.M. & Startz, R. & Nelson, C.R., 1989. "The Markov Model Of Heteroskedasticity, Risk And Learning In The Stock Market," Working Papers 89-01, University of Washington, Department of Economics.
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    22. Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 1-14, January.
    23. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
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    36. Philip Shively, 2003. "International evidence of temporary and permanent stock-price innovations: a multivariate approach," Applied Economics Letters, Taylor & Francis Journals, vol. 10(8), pages 499-503.
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    38. Kohers, Theodor & Pandey, Vivek & Kohers, Gerald, 1997. "Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 523-545.
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