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

DOI10.1007/978-1-4614-8060-0_1zbMath1418.91366OpenAlexW123105931MaRDI QIDQ4561853

Mark E. Wohar, Jun Ma, Jared Levant

Publication date: 13 December 2018

Published in: Recent Advances in Estimating Nonlinear Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8060-0_1

zbMATH Keywords

state-space modelstock returninflation rate

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

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• A standard error for the estimated state vector of a state-space model
• Measuring the temporary component of stock prices: robust multivariate analysis
• The stock return--inflation puzzle revisited

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