Expectation revisions and jumps in asset prices

DOI10.1016/S0165-1765(98)00071-8zbMath0906.90033WikidataQ126324054 ScholiaQ126324054MaRDI QIDQ1128939

Hans Dewachter, Dirk Veestraeten

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

jumpsMarkov switchingasset pricesexpectation revisions

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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