Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices
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- Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers 2015-79, Scottish Institute for Research in Economics (SIRE).
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Cited by:
- Dooruj McRambaccussing, 2015. "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics 291, Economic Studies, University of Dundee.
- Rambaccussing, Dooruj, 2015.
"Modelling Housing Prices using a Present Value State Space Model,"
SIRE Discussion Papers
2015-32, Scottish Institute for Research in Economics (SIRE).
- Rambaccussing, Dooruj, 2015. "Modelling Housing Prices using a Present Value State Space Model," SIRE Discussion Papers 2015-80, Scottish Institute for Research in Economics (SIRE).
- Dooruj Rambaccussing, 2015. "Modelling Housing Prices using a Present Value State Space Model," Dundee Discussion Papers in Economics 285, Economic Studies, University of Dundee.
- Rambaccussing, Dooruj, 2015. "Modelling Housing Prices using a Present Value State Space Model," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-32, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Rambaccussing, Dooruj, 2015. "Modelling Housing Prices using a Present Value State Space Model," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-80, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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More about this item
Keywords
price-dividend ratio; persistence; fractional integration; return predictability; present-value model;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2015-03-13 (Forecasting)
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