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Chapter9 Estimation, inference and forecasting of time series subject to changes in regime

James Douglas Hamilton1993

Chapter1993

9 Estimation, inference and forecasting of time series subject to changes in regime

James Douglas Hamilton

160 citations·0/0 files stored·Handbook of statistics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Statistical and numerical algorithms

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1988Permanent and Temporary Components of Stock Prices 1988Mean reversion in stock prices 1987Mean Reversion in Stock Prices: Evidence and Implications 1990Alternative models for conditional stock volatility 1996Mean Reversion in Stock Prices 1989Stock Volatility and the Crash of '87 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

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Year1993

Typechapter

Published1993-01-01

VenueHandbook of statistics

ISSN-L0169-7161

Languageen

Citations160

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0169-7161(05)80044-6

openalex_workW47906050

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2004

Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?

2006Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?