Noncausality and asset pricing

DOI10.1515/snde-2012-0035zbMath1506.62520OpenAlexW3121840614MaRDI QIDQ5881688

Matthijs Lof

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0035

zbMATH Keywords

stock pricesnonfundamentalnessnoncausal autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Forecasting with a noncausal VAR model ⋮ Noncausality and inflation persistence

Cites Work

• Maximum likelihood estimation for noncausal autoregressive processes
• An evolutionary game theory explanation of ARCH effects
• Time series: theory and methods.
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
• Noncausal Autoregressions for Economic Time Series
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS

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