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Volumn 5, Issue 2, 2001, Pages 41-53

A Regime-Switching Model of Long-Term Stock Returns

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Indexed keywords


EID: 85011135876     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2001.10595984     Document Type: Article
Times cited : (310)

References (15)
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    • Valuing Options in Regime Switching Models
    • BOLLEN, N. P. B. 1998. "Valuing Options in Regime Switching Models." Journal of Derivatives 6: 38-49.
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    • Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation
    • ENGLE, R. F. 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation." Econometrica 50: 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 6
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    • A New Approach to the Economic Analysis of Non-stationary Time Series
    • HAMILTON, J. D. 1989. "A New Approach to the Economic Analysis of Non-stationary Time Series." Econometrica 57: 357-84.
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 8
    • 21144448250 scopus 로고
    • Autoregressive Conditional Heteroskedasticity and Changes in Regime
    • HAMILTON, J. D. and R. SUSMEL. 1994. "Autoregressive Conditional Heteroskedasticity and Changes in Regime." Journal of Econometrics 64: 307-33.
    • (1994) Journal of Econometrics , vol.64 , pp. 307-333
    • Hamilton, J.D.1    Susmel, R.2
  • 9
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    • Institute for Insurance and Pensions Re-search, University of Waterloo, Research Report 99-14. Presented to the Symposium on Stochastic Modeling for Variable Annuity/Segregated Fund Investment Guarantees, Toronto, September 1999
    • HARDY, M. R. 1999. "Stock Return Models for Segregated Fund Guarantees." Institute for Insurance and Pensions Re-search, University of Waterloo, Research Report 99-14. Presented to the Symposium on Stochastic Modeling for Variable Annuity/Segregated Fund Investment Guarantees, Toronto, September 1999.
    • (1999) Stock Return Models for Segregated Fund Guarantees
    • Hardy, M.R.1
  • 10
    • 85011201860 scopus 로고    scopus 로고
    • Regime Switching Vector Autoregressions: A Bayesian Markov Chain Monte Carlo Approach
    • HARRIS, G. R. 1997. "Regime Switching Vector Autoregressions: A Bayesian Markov Chain Monte Carlo Approach." Proceedings of the 7th International AFIR Colloquium 1: 421-50.
    • (1997) Proceedings of the 7Th International AFIR Colloquium , vol.1 , pp. 421-450
    • Harris, G.R.1
  • 12
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    • Estimating the Dimension of a Model
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    • Schwartz, G.1
  • 14
    • 0000648229 scopus 로고
    • More on a Stochastic Asset Model for Actuarial Use
    • WILKIE, A. D. 1995. "More on a Stochastic Asset Model for Actuarial Use." British Actuarial Journal 1: 777-964.
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    • Wilkie, A.D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.