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Are There Bubbles in Stock Prices? Testing for Fundamental Shocks

https://doi.org/10.2139/ssrn.2433031
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1099-1255(199609)11:5<573::aid-jae413>3.0.co;2-topenalex-extracted
Stock market volatility and the business cycle
inferredcites →https://doi.org/10.1007/978-3-642-51684-9_2openalex-extracted
The Markov-Switching Vector Autoregressive Model
inferredcites →https://doi.org/10.1016/0304-3932(85)90005-4openalex-extracted
An historical decomposition of the great depression to determine the role of money
inferredcites →https://doi.org/10.1016/j.intfin.2003.06.001openalex-extracted
How important are fundamentals?—Evidence from a structural VAR model for the stock markets in the US, Japan and Europe
inferredcites →https://doi.org/10.1016/j.jeconom.2003.10.030openalex-extracted
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
inferredcites →https://doi.org/10.1016/j.jeconom.2014.06.012openalex-extracted
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
inferredcites →https://doi.org/10.1016/j.jedc.2009.08.002openalex-extracted
Structural vector autoregressions with Markov switching
inferredcites →https://doi.org/10.1016/s0148-6195(00)00037-0openalex-extracted
Macro shocks and real stock prices
inferredcites →https://doi.org/10.1016/s0261-5606(98)00012-6openalex-extracted
International evidence on equity prices, interest rates and money
inferredcites →https://doi.org/10.1016/s0927-5398(97)00025-xopenalex-extracted
International evidence on the stock market and aggregate economic activity
inferredcites →https://doi.org/10.1016/s1042-4431(98)00036-5openalex-extracted
Causal relations among stock returns and macroeconomic variables in a small, open economy
inferredcites →https://doi.org/10.1017/cbo9780511606885openalex-extracted
Applied Time Series Econometrics
inferredcites →https://doi.org/10.1080/07350015.2000.10524884openalex-extracted
Testing for the Cointegrating Rank of a VAR Process With Structural Shifts
inferredcites →https://doi.org/10.1080/0960310042000233421openalex-extracted
Fundamental share prices and aggregate real output
inferredcites →https://doi.org/10.1086/296344openalex-extracted
Economic Forces and the Stock Market
inferredcites →https://doi.org/10.1093/0198774508.001.0001openalex-extracted
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
inferredcites →https://doi.org/10.1111/j.1467-9892.2006.00487.xopenalex-extracted
Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb02389.xopenalex-extracted
A VARMA Analysis of the Causal Relations Among Stock Returns, Real Output, and Nominal Interest Rates
inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb04598.xopenalex-extracted
Stock Prices, Earnings and Expected Dividends
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02647.xopenalex-extracted
Why Does Stock Market Volatility Change Over Time?
inferredcites →https://doi.org/10.1111/joes.12100openalex-extracted
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG‐RUN RESTRICTIONS VIA HETEROSKEDASTICITY
inferredcites →https://doi.org/10.1515/9780691218632openalex-extracted
Time Series Analysis
inferredcites →https://doi.org/10.2139/ssrn.2388145openalex-extracted
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity
inferredcites →https://doi.org/10.2139/ssrn.2621511openalex-extracted
Granger Causality and Regime Inference in Bayesian Markov-Switching VARs
inferredcites →https://doi.org/10.2139/ssrn.358520openalex-extracted
Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
inferredcites →https://doi.org/10.2307/2328636openalex-extracted
Why Does Stock Market Volatility Change Over Time?
inferredcites →https://doi.org/10.2307/2331250openalex-extracted
The Response of Stock Prices to Permanent and Temporary Shocks to Dividends
inferredcites →https://doi.org/10.2307/2331376openalex-extracted
Permanent, Temporary, and Non-Fundamental Components of Stock Prices
inferredcites →https://doi.org/10.3386/w2737openalex-extracted
The Dynamic Effects of Aggregate Demand and Supply Disturbances
inferredcites →https://doi.org/10.2307/2328190openalex-snapshot
Stock Prices, Earnings, and Expected Dividends

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inferred← citeshttps://doi.org/10.1093/restud/rdz028openalex-snapshot
Identification and Estimation in Non-Fundamental Structural VARMA Models
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