Measuring the temporary component of stock prices: robust multivariate analysis

Authors
Gallagher, LA Taylor, MP
Citation
La. Gallagher et Mp. Taylor, Measuring the temporary component of stock prices: robust multivariate analysis, ECON LETT, 67(2), 2000, pp. 193-200
Citations number
19
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
67
Issue
2
Year of publication
2000
Pages
193 - 200
Database
ISI
SICI code
0165-1765(200005)67:2<193:MTTCOS>2.0.ZU;2-L
Abstract
We identify the temporary and permanent components of US stock prices throu gh appropriate restrictions on a vector autoregression of real stock return s and changes in interest rates, employing alternative robust estimation pr ocedures designed to allow for non-Gaussian innovations. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G14; C15.