Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes
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- Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
More about this item
KeywordsMarkov switching model; vector autoregression; vector error correction; heteroskedasticity; stock prices;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-17 (All new papers)
- NEP-ECM-2014-01-17 (Econometrics)
- NEP-ORE-2014-01-17 (Operations Research)
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