메뉴 건너뛰기




Volumn 63, Issue 251, 1996, Pages 405-426

Some empirical evidence on the time-series properties of four UK asset prices

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0010208909     PISSN: 00130427     EISSN: None     Source Type: Journal    
DOI: 10.2307/2555014     Document Type: Article
Times cited : (7)

References (46)
  • 3
    • 84928095191 scopus 로고
    • Rational expectations and bond pricing: Modelling the term structure with and without certainty equivalence
    • BEGG, D. K. H. (1984). Rational expectations and bond pricing: modelling the term structure with and without certainty equivalence. Economic Journal, Suppl., 94, 45-58.
    • (1984) Economic Journal, Suppl. , vol.94 , pp. 45-58
    • Begg, D.K.H.1
  • 4
    • 52149084478 scopus 로고
    • Interaction between autocorrelation and conditional heteroskedasticity: A random coefficient approach
    • BERA, A. K., HIGGINS, M. L. and LEE, S. (1992). Interaction between autocorrelation and conditional heteroskedasticity: a random coefficient approach. Journal of Business and Economic Statistics, 10, 133-42.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 133-142
    • Bera, A.K.1    Higgins, M.L.2    Lee, S.3
  • 6
    • 0000375581 scopus 로고
    • A conditional heteroskedastic time series model for speculative prices and rates of return
    • BOLLERSLEV, T. (1987). A conditional heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics, 69, 542-7.
    • (1987) Review of Economics and Statistics , vol.69 , pp. 542-547
    • Bollerslev, T.1
  • 9
    • 6244258775 scopus 로고
    • A test for independence based on the correlation dimension
    • W. Barnett, E. Berndt and H. White (eds.), Dynamic Economic Modelling Cambridge University Press
    • _, DECHERT, W. D. and SCHEINKMAN, J. (1987). A test for independence based on the correlation dimension. In W. Barnett, E. Berndt and H. White (eds.), Dynamic Economic Modelling (Proceedings of the Third International Symposium on Economic Theory and Econometrics). Cambridge University Press.
    • (1987) Proceedings of the Third International Symposium on Economic Theory and Econometrics
    • Dechert, W.D.1    Scheinkman, J.2
  • 11
    • 0000011103 scopus 로고
    • Volterra series and geometric control theory
    • BROCKETT, R. W. (1976). Volterra series and geometric control theory. Automatica, 12, 167-76.
    • (1976) Automatica , vol.12 , pp. 167-176
    • Brockett, R.W.1
  • 14
    • 0001543560 scopus 로고
    • Nonparametric exchange rate prediction
    • _ and NASON, J. (1990). Nonparametric exchange rate prediction. Journal of International Economics, 28, 315-32.
    • (1990) Journal of International Economics , vol.28 , pp. 315-332
    • Nason, J.1
  • 15
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variances of UK inflation
    • ENGLE, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variances of UK inflation. Econometrica, 50, 987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 16
    • 0001381794 scopus 로고
    • Discussion stock market volatility and the crash of '87
    • _ (1990). Discussion stock market volatility and the crash of '87. Review of Financial Studies, 3, 103-6.
    • (1990) Review of Financial Studies , vol.3 , pp. 103-106
  • 19
    • 40749093037 scopus 로고
    • Measuring the strangeness of strange attractors
    • GRASSBERGER, P. and PROCACCIA, I. (1983). Measuring the strangeness of strange attractors. Physica, 9D, 189-208.
    • (1983) Physica , vol.9 D , pp. 189-208
    • Grassberger, P.1    Procaccia, I.2
  • 21
    • 0001562296 scopus 로고
    • Predictive failure and econometric modelling in macroeconomics: The transactions demand for money
    • P. Ormerod (ed.), London: Heinneman Education
    • HENDRY, D. F. (1979). Predictive failure and econometric modelling in macroeconomics: the transactions demand for money. In P. Ormerod (ed.), Economic Modelling. London: Heinneman Education, pp. 217-42.
    • (1979) Economic Modelling , pp. 217-242
    • Hendry, D.F.1
  • 22
    • 0000605911 scopus 로고
    • Testing for nonlinear dependence in daily foreign exchange rates
    • HSIEH, D. A. (1989). Testing for nonlinear dependence in daily foreign exchange rates. Journal of Business, 62, 339-68.
    • (1989) Journal of Business , vol.62 , pp. 339-368
    • Hsieh, D.A.1
  • 23
    • 84977718808 scopus 로고
    • Heteroskedasticity in stock returns data: Volume versus GARCH effects'
    • LAMOUREUX, C. G. and LASTRAPES, W. D. (1990). Heteroskedasticity in stock returns data: volume versus GARCH effects'. Journal of Finance, 45, 221-9.
    • (1990) Journal of Finance , vol.45 , pp. 221-229
    • Lamoureux, C.G.1    Lastrapes, W.D.2
  • 26
    • 27644580196 scopus 로고
    • Trends and random walks in macroeconomic time series
    • PERRON, P. (1988). Trends and random walks in macroeconomic time series. Journal of Economic Dynamics and Control, 12, 297-332.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 297-332
    • Perron, P.1
  • 28
    • 0003103947 scopus 로고
    • Testing for strong serial correlation and dynamic conditional heterosked-asticity in multiple regression
    • ROBINSON, P. M. (1991). Testing for strong serial correlation and dynamic conditional heterosked-asticity in multiple regression. Journal of Econometrics, 47, 67-84.
    • (1991) Journal of Econometrics , vol.47 , pp. 67-84
    • Robinson, P.M.1
  • 29
    • 0001285133 scopus 로고
    • Deterministic chaos: The science and the fiction (The Claude Bernard Lecture, 1989)
    • RUELLE, D. (1990). Deterministic chaos: the science and the fiction (The Claude Bernard Lecture, 1989). Proceedings of the Royal Society London A, 427, 241-8.
    • (1990) Proceedings of the Royal Society London A , vol.427 , pp. 241-248
    • Ruelle, D.1
  • 31
    • 0001376652 scopus 로고
    • Nonlinear dynamics and stock returns
    • SCHEINKMAN, J. A. and LEBARON, B. (1989). Nonlinear dynamics and stock returns. Journal of Business, 62, 311-67.
    • (1989) Journal of Business , vol.62 , pp. 311-367
    • Scheinkman, J.A.1    Lebaron, B.2
  • 33
    • 0000201862 scopus 로고
    • Intrinsic limits on dimension calculations
    • SMITH, L. A. (1988). Intrinsic limits on dimension calculations. Physics Letters A, 133, 283-8.
    • (1988) Physics Letters A , vol.133 , pp. 283-288
    • Smith, L.A.1
  • 34
    • 0004576571 scopus 로고
    • Estimating dimension in noisy chaotic time series
    • SMITH, R. L. (1992). Estimating dimension in noisy chaotic time series. Journal of the Royal Statistical Society B, 54, 329-51.
    • (1992) Journal of the Royal Statistical Society B , vol.54 , pp. 329-351
    • Smith, R.L.1
  • 35
    • 84936185790 scopus 로고
    • Measuring business cycle time
    • STOCK, J. H. (1987). Measuring business cycle time. Journal of Political Economy, 95, 1240-61.
    • (1987) Journal of Political Economy , vol.95 , pp. 1240-1261
    • Stock, J.H.1
  • 36
    • 6244275823 scopus 로고
    • Technical Report no. 121, Department of Mathematics, University of Manchester Institute of Science and Technology
    • SUBBA RAO, T. (1979). On the theory of bilinear time series models: 11. Technical Report no. 121, Department of Mathematics, University of Manchester Institute of Science and Technology.
    • (1979) On the Theory of Bilinear Time Series Models: 11
    • Subba Rao, T.1
  • 37
    • 0003299258 scopus 로고
    • An introduction to bispectral analysis and bilinear time series models
    • New York: Springer
    • _ and GABR, M. M. (1984). An introduction to bispectral analysis and bilinear time series models. In Lecture Notes in Statistics, 24. New York: Springer.
    • (1984) Lecture Notes in Statistics , vol.24
    • Gabr, M.M.1
  • 39
    • 0000658999 scopus 로고
    • The price variability-volume relationship in speculative markets
    • TAUCHEN, G. E. and PITTS, M. (1983). The price variability-volume relationship in speculative markets. Econometrica, 51, 485-505.
    • (1983) Econometrica , vol.51 , pp. 485-505
    • Tauchen, G.E.1    Pitts, M.2
  • 41
    • 0001348449 scopus 로고
    • Rational expectations, risk and chaos in financial markets
    • VAN DER PLOEG, F. (1987). Rational expectations, risk and chaos in financial markets. Economic Journal, 96, 151-62.
    • (1987) Economic Journal , vol.96 , pp. 151-162
    • Van Der Ploeg, F.1
  • 43
    • 0346262808 scopus 로고
    • Price volatility without news about fundamentals
    • WEI, S. (1991). Price volatility without news about fundamentals. Economics Letters, 37, 453-8.
    • (1991) Economics Letters , vol.37 , pp. 453-458
    • Wei, S.1
  • 44
    • 0002513317 scopus 로고
    • ARCH and bilinear time series models: Comparison and combination
    • WEISS, A. A. (1986). ARCH and bilinear time series models: comparison and combination. Journal of Business and Economic Statistics, 4, 59-70.
    • (1986) Journal of Business and Economic Statistics , vol.4 , pp. 59-70
    • Weiss, A.A.1
  • 45
    • 0000095552 scopus 로고
    • A heteroskedasticity v. consistent covariance matrix and a direct test for heteroskedasticity
    • WHITE, H. (1980). A heteroskedasticity v. consistent covariance matrix and a direct test for heteroskedasticity. Econometrica, 48, 817-38.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1
  • 46
    • 0038252262 scopus 로고
    • A note on the behaviour of the correlation integral in the presence of a time series
    • WOLFF, R. C. L. (1990). A note on the behaviour of the correlation integral in the presence of a time series. Biometrika, 77, 689-97.
    • (1990) Biometrika , vol.77 , pp. 689-697
    • Wolff, R.C.L.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.