Structural VAR identification in asset markets using short-run market inefficiencies
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More about this item
KeywordsStructural VAR; Overreaction and Underreaction; Stock Market;
- 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
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-01-09 (All new papers)
- NEP-CFN-2005-01-09 (Corporate Finance)
- NEP-ECM-2005-01-09 (Econometrics)
- NEP-EEC-2005-01-09 (European Economics)
- NEP-ETS-2005-01-09 (Econometric Time Series)
- NEP-FMK-2005-01-09 (Financial Markets)
- NEP-RMG-2005-01-09 (Risk Management)
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