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Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities

Author

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  • Perez-Quiros, G.
  • Timmermann, A.

Abstract

Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability distribution and higher order moments of stock returns.

Suggested Citation

  • Perez-Quiros, G. & Timmermann, A., 2001. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," Papers 58, Quebec a Montreal - Recherche en gestion.
    • Handle: RePEc:fth:uqamge:58
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    BUSINESS CYCLES ; ECONOMIC MODELS;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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