Some new variance bounds for asset prices

Journal of Money, Credit and Banking

Volumn 37, Issue 5, 2005, Pages 949-955

  Engel, Charles ^a  

^a NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Asset price variability; Variance bounds; Volatility bounds

Indexed keywords

EID: 25644445219     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1353/mcb.2005.0049     Document Type: Review

References (15)

1. Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay (1997). The Econometrics of Financial Markets. Princeton: Princeton University Press.
2. Engel, Charles, and Kenneth D. West (2004). "Accounting for Exchange-Rate Variability in Present-Value Models When the Discount Factor is Near 1." American Economic Review 94, 119-125.
3. Engel, Charles, and Kenneth D. West (2005). "Exchange Rates and Fundamentals." Journal of Political Economy 113, 485-517.
4. Durlauf, Steven N., and Peter C.B. Phillips (1988). "Trends Versus Random Walks in Time Series Analysis." Econometrica 56, 1333-1354.
5. Flavin, Marjorie A. (1983). "Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence." Journal of Political Economy 91, 929-956.
6. Frankel, Jeffrey A., and James H. Stock (1987). "Regression vs. Volatility Tests of the Efficiency of Foreign Exchange Markets." Journal of International Money and Finance 6, 49-56.
7. Gilles, Christian, and Stephen F. LeRoy (1991). "Econometric Aspects of the Variance-Bounds Tests: A Survey." Review of Financial Studies 4, 753-791.
8. Kleidon, Allan W. (1986). "Variance Bounds Tests and Stock Price Valuation Models." Journal of Political Economy 94, 953-1001.
9. Kleidon, Allan W. (1988). "The Probability of Gross Violations of a Present Value Variance Inequality: Reply." Journal of Political Economy 96, 1093-1096.
10. LeRoy, Stephen F., and Richard D. Porter (1981). "The Present-Value Relation: Tests Based on Implied Variance Bounds." Econometrica 49, 555-574.
11. Mankiw, N. Gregory, David Romer, and Matthew D. Shapiro (1985). "An Unbiased Reexamination of Stock Market Volatility." Journal of Finance 40, 677-687.
12. Marsh, Terry A., and Robert C. Merton (1986). "Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices." American Economic Review 76, 483-498.
13. Shiller, Robert J. (1981). "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?" American Economic Review 71, 421-436.
14. Shiller, Robert J. (1988). "The Probability of Gross Violations of a Present Value Variance Inequality." Journal of Political Economy 96, 1089-1092.
15. West, Kenneth D. (1988). "Dividend Innovations and Stock Price Volatility." Econometrica 56, 37-61.