Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities

Journal of Econometrics

Volumn 103, Issue 1-2, 2001, Pages 259-306

  Perez Quiros, Gabriel ^a   Timmermann, Allan ^b  

^a EUROPEAN CENTRAL BANK   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Business cycle risk; Density modeling; Markov switching; Mixtures of distributions

Indexed keywords

EID: 0040209430     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00045-8     Document Type: Article

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