The peso problem hypothesis and stock market returns
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Publication:951490
DOI10.1016/S0165-1889(03)00041-1zbMath1179.91113MaRDI QIDQ951490
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial science and mathematical finance (91G99)
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Cites Work
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- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Smart Money, Noise Trading and Stock Price Behaviour
- Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
- A Model of Intertemporal Asset Prices Under Asymmetric Information
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