Aggregate consumption spending, the stock market and asymmetric error correction

DOI10.1080/14697680400000023zbMath1405.91708OpenAlexW3121931413MaRDI QIDQ4610224

Lonnie K. Stevans

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680400000023

zbMATH Keywords

growthequity price volatilitystock market cycle

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic growth models (91B62)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Asymptotic Properties of Residual Based Tests for Cointegration
• Inference in TAR Models
• Testing for a unit root in time series regression
• REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
• Threshold Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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