Empirical characteristics of the permanent and transitory components of stock return: Analysis in a Markov switching heteroscedasticity framework

Economics Letters

Volumn 82, Issue 2, 2004, Pages 157-165

  Bhar, Ramaprasad ^a   Hamori, Shigeyuki ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b KOBE UNIVERSITY   (Japan)

Author keywords

Markov switching heteroscedasticity model; Permanent shock; Transitory shock

Indexed keywords

EID: 0348198098     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2003.07.006     Document Type: Article

References (22)

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