Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities

G. Perez-Quiros and Allan Timmermann
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

Working Papers from Quebec a Montreal - Recherche en gestion

Abstract: Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability distribution and higher order moments of stock returns.

Keywords: BUSINESS CYCLES; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: E30 E32 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2001
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Citations: View citations in EconPapers (97)

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Related works:
Journal Article: Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities (2001)
Working Paper: Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities (2001)
Working Paper: Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities (2000)
Working Paper: Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:uqamge:58

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