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Journal of Monetary Economics
Volumn 42, Issue 2, 1998, Pages 357-373
Intrinsic bubbles and regime-switching
Author keywords

C32; E44; G12; Intrinsic bubbles; Markov processes; Regime switching
Indexed keywords

EID: 0001704983     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-3932(98)00021-X     Document Type: Article
Times cited : (90)
References (12)
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    • Heteroskedasticity and autocorrelation-consistent covariance matrix estimation
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    • (1991) Econometrica , vol.59 , pp. 817-858
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  • 2
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    • An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator
    • Andrews D.W.K., Monahan J.C. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica. 60:1992;953-966.
    • (1992) Econometrica , vol.60 , pp. 953-966
    • Andrews, D.W.K.1    Monahan, J.C.2
  • 3
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    • Can a well-fitted equilibrium asset-pricing model produce mean reversion?
    • Bonomo, M., Garcia, R., 1994. Can a well-fitted equilibrium asset-pricing model produce mean reversion? Journal of Applied Econometrics 9, 19-29.
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    • Bonomo, M.1    Garcia, R.2
  • 5
    • 0000230606 scopus 로고
    • Long swings in the dollar: Are they in the data and do markets know it?
    • Engel, C., Hamilton, J.D., 1990. Long swings in the dollar: Are they in the data and do markets know it? American Economic Review 80, 689-713.
    • (1990) American Economic Review , vol.80 , pp. 689-713
    • Engel, C.1    Hamilton, J.D.2
  • 6
    • 0001315552 scopus 로고
    • Market fundamentals versus speculative bubbles: The first tests
    • Flood, R.P., Garber, P.M., 1980. Market fundamentals versus speculative bubbles: The first tests. Journal of Political Economy 88, 745-770.
    • (1980) Journal of Political Economy , vol.88 , pp. 745-770
    • Flood, R.P.1    Garber, P.M.2
  • 7
    • 0000738539 scopus 로고
    • Intrinsic bubbles: The case of stock prices
    • Froot, K.A., Obstfeld, M., 1991. Intrinsic bubbles: The case of stock prices. American Economic Review 81, 1189-1214.
    • (1991) American Economic Review , vol.81 , pp. 1189-1214
    • Froot, K.A.1    Obstfeld, M.2
  • 8
    • 0038482590 scopus 로고
    • On testing for self-fulfilling speculative price bubbles
    • Hamilton J.D. On testing for self-fulfilling speculative price bubbles. International Economic Review. 27:1986;545-552.
    • (1986) International Economic Review , vol.27 , pp. 545-552
    • Hamilton, J.D.1
  • 9
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    • Princeton University Press, Princeton, NJ
    • Hamilton, J.D., 1994. Time series analysis, Princeton University Press, Princeton, NJ.
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 10
    • 0000043291 scopus 로고    scopus 로고
    • Specification testing in Markov-switching time series models
    • Hamilton J.D. Specification testing in Markov-switching time series models. Journal of Econometrics. 70:1996;127-157.
    • (1996) Journal of Econometrics , vol.70 , pp. 127-157
    • Hamilton, J.D.1
  • 12
    • 0003244091 scopus 로고
    • Specification testing in dynamic models
    • In: Bewley, T.F. (Ed.), Cambridge University Press, Cambridge
    • White, H., 1987. Specification testing in dynamic models. In: Bewley, T.F. (Ed.), Advances in Econometrics, Fifth World Congress, Vol. I, Cambridge University Press, Cambridge.
    • (1987) Advances in Econometrics, Fifth World Congress , vol.1
    • White, H.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.