Duration dependence in stock prices: An analysis of bull and bear markets

Journal of Business and Economic Statistics

Volumn 22, Issue 3, 2004, Pages 253-273

  Lunde, Asger ^a   Timmermann, Allan ^b  

^a AARHUS SCHOOL OF BUSINESS   (Denmark)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Hazard model; Interest rate effect; Survival rate

Indexed keywords

EID: 3142693539     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500104000000136     Document Type: Article

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