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Intrinsic bubbles and regime-switching

  • Driffill, John
  • Sola, Martin

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File URL: http://www.sciencedirect.com/science/article/B6VBW-3VNHDN6-S/2/262133e0cfa7053306ec78ad90f0aa41
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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 42 (1998)
Issue (Month): 2 (July)
Pages: 357-373

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Handle: RePEc:eee:moneco:v:42:y:1998:i:2:p:357-373
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505566

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  1. Bonomo, m. & Garcia, r., 1991. "Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?," Cahiers de recherche 9127, Universite de Montreal, Departement de sciences economiques.
  2. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1990. "Mean Reversion in Equilibrium Asset Prices," American Economic Review, American Economic Association, vol. 80(3), pages 398-418, June.
  3. Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
  4. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  5. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  6. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  7. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
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