A new approach to estimating value-income ratios with income growth and time-varying yields

DOI10.1016/j.ejor.2014.09.046zbMath1341.91115OpenAlexW2042991932MaRDI QIDQ726246

Peijie Wang, Steven Brand

Publication date: 8 July 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.09.046

zbMATH Keywords

present value modelincome growthtime-varying yieldvalue-income ratio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Statistical analysis of cointegration vectors
• A simulation-based approach to the study of coefficient of variation of dividend yields
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Unnamed Item

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