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This study uses parametric hazard models to investigate duration dependence in US stock market cycles over the January 1929 through December 1992 period. Market cycles are determined using the BeveridgeNelson 1981 approach to the decomposition of economic time series. The results show that both...
Several recent studies have indicated the existence of a predictable component in stock prices. This study examines the sources of this serial correlation using errorcorrection models. The results show that autocorrelated economic variables can generate serial correlation in stock returns. After...
This paper empirically investigates the link between expected returns on stocks and a set of variables that describe the general state of economic activity. The model relates the first and second conditional moments on stock excess returns to the conditional variances and covariances of a set of...
This study attempts to determine whether the level and volatility of interest rates affect the equity returns of commercial banks. Shortterm, intermediateterm, and longterm interest rates are used. Volatility is defined as the conditional variance of respective interest rates and is generated by...
Recent studies indicating long term dependence in stock market indices have found a mean reversion process. However, studies using rescaled range RS analysis have not found evidence of a mean reversion or ergodic process. Instead, evidence from these studies indicate either long term persistence...
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