Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
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Publication:5939175
DOI10.1016/S0304-4076(01)00045-8zbMath0972.62101OpenAlexW3121187889MaRDI QIDQ5939175
Allan G. Timmermann, Gabriel Perez-Quiros
Publication date: 19 November 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00045-8
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)
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Cites Work
- Geometric equivalence of groups.
- Autoregressive conditional heteroskedasticity and changes in regime
- A floor and ceiling model of US output
- Moments of Markov switching models
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Safety First and the Holding of Assets
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