SEARCH

SEARCH BY CITATION

References

  • Abel, A. B. (1992), ‘Exact solutions for expected rates of return under Markov regime switching: implications for the equity premium puzzle’, NBER Working Paper no. 4110.
  • Balke, N. S., and R. J. Gordon (1986), ‘Appendix B. Historical data’, in R. J.Gordon (ed.), The American Business Cycle, University of Chicago Press for NBER, Chicago.
  • Bonomo, M., and R. Garcia (1991a), ‘Can a well-fitted equilibrium asset pricing model produce mean reversion?’, CRDE Working Paper no. 3091, Université de Montréal, and Working Paper no. 270, Department of Economics, PUC-Rio.
  • Bonomo, M., and R. Garcia (1991b), ‘Consumption and equilibrium asset pricing: an empirical assessment’, CRDE Working Paper no. 2991, Université de Montréal.
  • Campbell, J. Y., and R. J. Shiller (1987), ‘Cointegration and tests of present value models’, Journal of Political Economy, 95, 106288.
  • Cecchetti, S. G., P. Lam and N. C. Mark (1990), ‘Mean reversion in equilibrium asset prices’, American Economic Review, 80, 398418.
  • Cecchetti, S. G., P. Lam and N. C. Mark (1991), ‘The equity premium and the risk free rate: matching the moments’, NBER Working Paper no. 3752.
  • Fama, E. F., and K. R. French (1988), ‘Permanent and temporary components of stock prices’, Journal of Political Economy, 96, 24673.
  • Garcia, R. (1992), ‘Asymptotic null distribution of the likelihood ratio test in Markov switching models’, Unpublished manuscript, Université de Montréal, May.
  • Hamilton, J. D. (1989), ‘A new approach to the economic analysis of nonstationary time series and the business cycle’, Econometrica, 57, 35784.
  • Hansen, B. E. (1991), ‘Inference when a nuisance parameter is not identified under the null’, Unpublished manuscript, Rochester University.
  • Ibbotson, R. G., and R. A. Sinquefield (1988), Stocks, Bonds, Bills and Inflation 1988 Yearbook. Ibbotson Associates, Chicago.
  • Kandel, S., and R. F. Stambaugh (1990), ‘Expectations and volatility of consumption and asset returns’, Review of Financial Studies, 3, 20732.
  • Lucas, R. E. Jr, (1978), ‘Asset prices in an exchange economy’, Econometrica, 66, 142945.
  • Mehra, R., and E. C. Prescott (1985), ‘The equity premium: a puzzle’, Journal of Monetary Economics, 15, 14561.
  • Pesaran, M. H., and S. M. Potter (1993), ‘Equilibrium asset pricing models and predictability of excess returns’, Unpublished manuscript, University of Cambridge and UCLA.
  • Poterba, J. M., and L. H. Summers (1988), ‘Mean reversion in stock prices: evidence and implications’, Journal of Financial Economics, 22, 2759.
  • Romer, C. D. (1986), ‘Is a stabilization of the postwar economy a figment of the data?American Economic Review, 76, 31434.
  • Rouwenhorst, G. K. (1988), ‘Asset returns and business cycles: a general equilibrium approach’, Unpublished manuscript, William E. Simon Graduate School of Business Administration, University of Rochester.
  • Tauchen, G. (1985), ‘Finite state Markov-chain approximations to univariate and vector autoregressions’, Economic Letters, 20, 17781.
  • Wilson, J. W., and C. Jones (1987), ‘A comparison of annual common stock returns: 1871–1925 with 1926–1985’, Journal of Business, 60, 23958.