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- W2028067699 abstract "This paper adopts the Markov switching heteroscedasticity framework to decompose stock return into permanent and transitory components. The analysis is carried out for four major economies to detect differences in the behaviour of different markets. The findings show that there is substantial variation in the duration of the volatility states of the transitory component in these markets. It is also found that the US market has a positive correlation with the other markets for the permanent component, whereas it has a negative correlation for the temporal component." @default.
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- W2028067699 date "2004-02-01" @default.
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- W2028067699 title "Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework" @default.
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- W2028067699 doi "https://doi.org/10.1016/j.econlet.2003.07.006" @default.
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