Rational Bubbles and Fractional Alternatives
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- Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014.
"Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices,"
SIRE Discussion Papers
2015-79, Scottish Institute for Research in Economics (SIRE).
- Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," Dundee Discussion Papers in Economics 284, Economic Studies, University of Dundee.
- Chaker Aloui, 2003. "Long-Range Dependence in Daily Volatility on Tunisian Stock Market," Working Papers 0340, Economic Research Forum, revised 12 2003.
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KeywordsPresent value models; Unit roots; Fractional Integration;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1998-10-15 (All new papers)
- NEP-CFN-1998-10-15 (Corporate Finance)
- NEP-ETS-1998-10-15 (Econometric Time Series)
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