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Market fundamentals versus rational bubbles in stock prices: a Bayesian persp...
Using Bayesian Markov chain Monte Carlo methods, we decompose the log price-dividend ratio into a market fundamentals component and a bubble component. The market fundamentals... -
Learning, forecasting and structural breaks (replication data)
We provide a general methodology for forecasting in the presence of structural breaks induced by unpredictable changes to model parameters. Bayesian methods of learning and... -
A unified approach to standardized-residuals-based correlation tests for GARC...
In this paper, we propose a unified approach to generating standardized-residuals-based correlation tests for checking GARCH-type models. This approach is valid in the presence...
