Measuring the temporary component of stock prices: robust multivariate analysis

DOI10.1016/S0165-1765(99)00258-XzbMath0948.91027MaRDI QIDQ1978571

Liam A. Gallagher, Mark P. Taylor

Publication date: 4 June 2000

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

zbMATH Keywords

mean reversionrobust estimationstock pricespermanent-temporary decomposition

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

Stock Return and Inflation: An Analysis Based on the State-Space Framework

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Periodically collapsing stock price bubbles: A robust test

This page was built for publication: Measuring the temporary component of stock prices: robust multivariate analysis