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Manufacturing Stocks: Expectations, Risk and Co-Integration
16 references·3 citing·41 second hop
Manufacturing Stocks: Expectations, Risk and Co-Integration (1990)Manufacturing Stocks: Expectations, Risk …Backward and Forward Solutions for Economies with Rational Expectations (2007)Backward and Forward Solution…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…The econometric analysis of models with risk terms (1988)The econometric analysis of m…Interpreting cointegrated models (1988)Interpreting cointegrated mod…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Models of the UK economy : a third review by the ESRC macroeconomic modelling bureau (1986)Models of the UK economy : a …Manufacturing Stocks and Forward-Looking Expectations in the UK (1986)Manufacturing Stocks and Forw…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW (1986)ECONOMETRIC MODELLING WITH CO…Formation of Inflation Expectations in British Manufacturing Industries (1985)Formation of Inflation Expect…An Investigation of the Determinants of Manufacturing Employment in the United Kingdom (1984)An Investigation of the Deter…The Efficient Estimation of Econometric Models with Rational Expectations (1982)The Efficient Estimation of E…The use of dummy variables to compute predictions, prediction errors, and confidence intervals (1976)The use of dummy variables to…Rational Expectations and the Theory of Price Movements (1961)Rational Expectations and the…Rational Error Correction (2002)Rational Error CorrectionThe demand for Indonesian narrow money: long-run equilibrium, error correction and forward-looking behaviour (1994)The demand for Indonesian nar…BUFFER STOCK MONEY AND THE COMPANY SECTOR 1 (1992)BUFFER STOCK MONEY AND THE CO…Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)COINTEGRATION AND UNIT ROOTS (1990)Peasants or Bankers? The American Electorate and the U.S. Economy (1992)EXCHANGE RATE PASS‐THROUGH (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Specification Tests in Econometrics (1978)Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality (1995)The day of the week effect on stock market volatility (2001)The day of the week effect on stock market volatility and volume: International evidence (2003)A Classical Macroeconometric Model for the United States (1976)Estimation and Control of a Macroeconomic Model with Rational Expectations (1979)A Survey of Some Recent Econometric Methods (1989)MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET (1994)The Puzzle of Jobless Growth in Indian Manufacturing (1998)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Stochastic trends and economic fluctuations in a small open economy (1992)Stock prices and bond yields (1992)Two Pillars of Asset Pricing (2014)The Analysis of Economic Time-Series-Part I: Prices (1953)Optimal Properties of Exponentially Weighted Forecasts (1960)The Economic Implications of Learning by Doing (1971)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Asset Prices in an Exchange Economy (1978)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1961Rational Expectations and the Theory of Price Movements5,639 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1986ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW631 cited
  • 1988The econometric analysis of models with risk terms343 cited
  • 1982The Efficient Estimation of Econometric Models with Rational Expectations255 cited
  • 1988Interpreting cointegrated models246 cited
  • 1976The use of dummy variables to compute predictions, prediction errors, and confidence intervals198 cited
  • 1984An Investigation of the Determinants of Manufacturing Employment in the United Kingdom156 cited
  • 2007Backward and Forward Solutions for Economies with Rational Expectations149 cited
  • 1985Formation of Inflation Expectations in British Manufacturing Industries103 cited
  • 1986Models of the UK economy : a third review by the ESRC macroeconomic modelling bureau

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63 cited
  • 1986Manufacturing Stocks and Forward-Looking Expectations in the UK35 cited
  • Cited by

    • 1994The demand for Indonesian narrow money: long-run equilibrium, error correction and forward-looking behaviour21 cited
    • 2002Rational Error Correction21 cited
    • 1992BUFFER STOCK MONEY AND THE COMPANY SECTOR 120 cited