The structural break in the equity premium

Journal of Business and Economic Statistics

Volumn 23, Issue 2, 2005, Pages 181-191

  Kim, Chang Jin ^a   Morley, James C ^b   Nelson, Charles R ^c  

^a Korea University   (South Korea)

^b WASHINGTON UNIVERSITY   (United States)

^c UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Bayes factor; Equity premium; Marginal likelihood; Markov switching; Structural break; Volatility feedback

Indexed keywords

EID: 17544365921     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500104000000352     Document Type: Article

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