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Volumn 34, Issue 7, 2002, Pages 843-857

Cointegration for market forecast in the Spanish stock market

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; INFLATION; INTEREST RATE; STOCK MARKET;

EID: 0036243038     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840110058932     Document Type: Article
Times cited : (11)

References (35)
  • 1
    • 38249030663 scopus 로고
    • Stock prices under time-varying dividend risk. An exact solution in an infinite-horizon general equilibrium model
    • (1988) Journal of Monetary Economics , vol.22 , pp. 375-393
    • Abel, B.1
  • 24
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • (1991) Econometrica , vol.59 , pp. 1511-1580
    • Johansen, S.1
  • 30
    • 0001309575 scopus 로고
    • On market timing and investment performance. I. An equilibrium theory of value for market forecast
    • (1981) Journal of Business , vol.54 , pp. 363-406
    • Merton, R.C.1
  • 34
    • 0000769775 scopus 로고
    • Asymptotic properties of least squares estimators of cointegrating vectors
    • (1987) Econometrica , vol.55 , pp. 1035-1056
    • Stock, J.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.