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Switching Equilibria: The Present Value Model for Stock Prices Revisited

  • Vázquez Pérez, Jesús
  • Gutiérrez Huerta, María José

Also published as DFAE-II Working Paper 2002-26 and as an article in: Journal of Economic Dynamics and Control, 2004, vol. 28, issue 11, pages 2297-2325

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File URL: http://hdl.handle.net/10810/5823
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Paper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 2000-06.

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Date of creation: Jul 2002
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Handle: RePEc:ehu:biltok:200006
Contact details of provider: Postal: Avda. Lehendakari, Aguirre, 83, 48015 Bilbao
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Order Information: Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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  1. Evans, Martin D D, 1998. "Dividend Variability and Stock Market Swings," Review of Economic Studies, Wiley Blackwell, vol. 65(4), pages 711-40, October.
  2. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  3. Chow, G.C., 1988. "Rational Versus Adaptive Expectations In Present Value Models," Papers 328, Princeton, Department of Economics - Econometric Research Program.
  4. West, Kenneth D, 1988. "Dividend Innovations and Stock Price Volatility," Econometrica, Econometric Society, vol. 56(1), pages 37-61, January.
  5. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
  6. John H. Cochrane, 1991. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc.
  7. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February.
  8. Driffill, John & Sola, Martin, 1998. "Intrinsic bubbles and regime-switching," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 357-373, July.
  9. Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De.
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