Sunspots and predictable asset returns.

DOI10.1016/S0022-0531(03)00253-9zbMath1063.91030MaRDI QIDQ1427503

Edouard Challe

Publication date: 14 March 2004

Published in: Journal of Economic Theory (Search for Journal in Brave)

zbMATH Keywords

CointegrationSunspotsCointegration Return predictabilityReturn predictability

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

Endogenous participation risk in speculative markets

Cites Work

• Asset price volatility in a nonconvex general equilibrium model
• Asset Bubbles and Overlapping Generations

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