Excess volatility. A testing strategy

DOI10.1016/0165-1765(93)00295-YzbMath0800.90225OpenAlexW2170057635MaRDI QIDQ1327881

C. John McDermott

Publication date: 3 July 1994

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

Full work available at URL: https://doi.org/10.1016/0165-1765(93)00295-y

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Asymptotic Properties of Residual Based Tests for Cointegration
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Canonical Cointegrating Regressions
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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