Speculative bubbles in stock prices? Tests based on the price-dividend ratio
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References listed on IDEAS
- Shen, Pu & Starr, Ross M., 1998. "Liquidity of the treasury bill market and the term structure of interest rates," Journal of Economics and Business, Elsevier, vol. 50(5), pages 401-417, September.
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- Oliver LINTON, "undated". "Kernel estimation in a nonparametric marker dependent Hazard Model," Statistic und Oekonometrie 9313, Humboldt Universitaet Berlin.
More about this item
KeywordsSpeculative bubbles; Price-dividend ratio; Variance decomposition; Bootstrap simulation; US stock market;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-22 (All new papers)
- NEP-DEV-2004-03-22 (Development)
- NEP-FIN-2004-03-22 (Finance)
- NEP-FMK-2004-03-22 (Financial Markets)
- NEP-RMG-2004-03-22 (Risk Management)
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