EXCESS VOLATILITY - A TESTING STRATEGY

Authors
MCDERMOTT CJ
Citation
Cj. Mcdermott, EXCESS VOLATILITY - A TESTING STRATEGY, Economics letters, 44(1-2), 1994, pp. 35-41
Citations number
9
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
44
Issue
1-2
Year of publication
1994
Pages
35 - 41
Database
ISI
SICI code
0165-1765(1994)44:1-2<35:EV-ATS>2.0.ZU;2-#
Abstract
A testing strategy for excess volatility in asset prices is proposed b y combining a number of already existing econometric estimators. The s trategy is valid when asset prices are integrated of order one, the re al rate of interest is variable and the underlying economic model is n on-linear. The strategy is applied to annual U.S. stock prices. The ev idence for no excess volatility is weak.