Sydney, NSW 2052
UNSW Australia Business School, School of Banking and Finance
in Total Papers Downloads
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Credit default swaps, Credit risk, Latent components, Kalman filter
Credit Spreads, Macroeconomic Factors, Kalman Filter
Credit Spreads, Macroeconomic Factors, Kalman Filter, State-space model
Deviations from CIP, Markov regime shifting probabilities
Stock Market, Asset Bubbles, Testing for Market Overvaluation, Fundamental Valuation
Oil prices, Euro, Gold, Time series analysis, Markov switching regimes
Short term interest rates, Stochastic Volatility, Maximum likelihood estimation, Monte Carlo Likelihood, Particle Filter.
Excess stock returns, equity premium, dividends, macroeconomic variables, momentum, Markov regimes
Speculative, components, mature, stock, markets
Double exponential jump-diffusion, Pareto-beta jump diffusion, Leptokurtic distribution, Volatility smile, Skew, Maximum likelihood, CDS options, iTraxx, MLE
Monetary policy rule, Nonlinear model, Stock market, Housing market, Time-varying coefficient
Equity premium, Stochastic discount factor, Daily frequency, Momentum, Copula
CDS, Risk Premium, Great Recession, Quantitative Easing
Quantitative Easing, Stock Market, S&P 500 Index, 10 Year Notes, Unemployment
Bubbles, Excessive stock returns, Macroeconomic variables, Regimes, Business cycles
Excessive stock returns, macroeconomic variables, Regimes, Business cycle
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Quantitative Easing, Decision Tree, Stock Market, S&P 500 Index, 10 Year Notes
Interconnectedness, Convergence, Kalman filter, Financial institutions
Kalman Filter, Stochastic Volatility, Unscented Kalman Filter, Extended Kalman Filter, Interest Rate Process, Stochastic Volatility, Inflation Uncertainty, Forward Exchange Rate, Equity Price of Risk, Credit Default Swaps
Price of risk, Risk premium, GARCH, Unobserved component
Markov Switching Heteroscedasticity Model, Stock Returns, Concordance Measure
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