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http://hdl.handle.net/10071/6880
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Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Gabriel, V. J. | - |
dc.contributor.author | Martins, L. F. | - |
dc.date.accessioned | 2014-04-08T18:42:50Z | - |
dc.date.available | 2014-04-08T18:42:50Z | - |
dc.date.issued | 2011 | - |
dc.identifier | http://dx.doi.org/10.1007/s00181-010-0401-8 | - |
dc.identifier.issn | 0377-7332 | - |
dc.identifier.uri | http://www.springerlink.com/content/n416855h5vtu5085/ | - |
dc.identifier.uri | https://ciencia.iscte-iul.pt/public/pub/id/860 | - |
dc.identifier.uri | http://hdl.handle.net/10071/6880 | - |
dc.description | WOS:000296882600005 (Nº de Acesso Web of Science) | - |
dc.description | “Prémio Científico ISCTE-IUL 2012” | - |
dc.description.abstract | We examine the properties of several residual-based cointegration tests when long-run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier study, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock price-dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations. | por |
dc.language.iso | eng | por |
dc.publisher | Physica-Verlag GMBH & CO | por |
dc.rights | embargoedAccess | por |
dc.subject | Present value model | por |
dc.subject | Cointegration tests | por |
dc.subject | Markov switching | por |
dc.title | Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship | por |
dc.type | article | por |
dc.pagination | 639-662 | en_US |
dc.peerreviewed | Sim | - |
dc.relation.publisherversion | The definitive version is available at: http://dx.doi.org/10.1007/s00181-010-0401-8 | - |
dc.journal | Empirical Economics | en_US |
dc.number | 3 | en_US |
degois.publication.firstPage | 639 | por |
degois.publication.lastPage | 662 | por |
degois.publication.issue | 3 | por |
degois.publication.title | Empirical Economics | por |
dc.date.updated | 2014-04-08T18:41:10Z | - |
Aparece nas coleções: | DMQGE-RI - Artigos em revistas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Gabriel & Martins Empirical Econ 2011.pdf Restricted Access | 380,41 kB | Adobe PDF | Ver/Abrir Request a copy |
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