A MARKOV MODEL OF HETEROSKEDASTICITY, RISK, AND LEARNING IN THE STOCK-MARKET

[1] A MAXIMIZATION TECHNIQUE OCCURRING IN STATISTICAL ANALYSIS OF PROBABILISTIC FUNCTIONS OF MARKOV CHAINS [J]. ANNALS OF MATHEMATICAL STATISTICS, 1970, 41 (01): : 164 - &

[2] Bollerslev Tim, 1987, J POLITICAL EC, V96, P116

[3] CECCHETTI SG, 1988, UNPUB MEAN REVERSION

[4] CECCHETTI SG, 1989, UNPUB EQUITY PREMIUM

[5] SERIAL-CORRELATION IN LATENT DISCRETE VARIABLE MODELS [J]. JOURNAL OF ECONOMETRICS, 1985, 27 (01) : 79 - 97

[6] ESTIMATING TIME-VARYING RISK PREMIA IN THE TERM STRUCTURE - THE ARCH-M MODEL [J]. ECONOMETRICA, 1987, 55 (02) : 391 - 407

[7] Everitt B, 1981, FINITE MIXTURE DISTR

[8] MANDELBROT AND THE STABLE PARETIAN HYPOTHESIS [J]. JOURNAL OF BUSINESS, 1963, 36 (04) : 420 - 429

[9] GALLANT AR, 1988, UNPUB FITTING RECALC

[10] A NEW APPROACH TO THE ECONOMIC-ANALYSIS OF NONSTATIONARY TIME-SERIES AND THE BUSINESS-CYCLE [J]. ECONOMETRICA, 1989, 57 (02) : 357 - 384

[1] A MAXIMIZATION TECHNIQUE OCCURRING IN STATISTICAL ANALYSIS OF PROBABILISTIC FUNCTIONS OF MARKOV CHAINS [J]. ANNALS OF MATHEMATICAL STATISTICS, 1970, 41 (01): : 164 - &

[2] Bollerslev Tim, 1987, J POLITICAL EC, V96, P116

[3] CECCHETTI SG, 1988, UNPUB MEAN REVERSION

[4] CECCHETTI SG, 1989, UNPUB EQUITY PREMIUM

[5] SERIAL-CORRELATION IN LATENT DISCRETE VARIABLE MODELS [J]. JOURNAL OF ECONOMETRICS, 1985, 27 (01) : 79 - 97

[6] ESTIMATING TIME-VARYING RISK PREMIA IN THE TERM STRUCTURE - THE ARCH-M MODEL [J]. ECONOMETRICA, 1987, 55 (02) : 391 - 407

[7] Everitt B, 1981, FINITE MIXTURE DISTR

[8] MANDELBROT AND THE STABLE PARETIAN HYPOTHESIS [J]. JOURNAL OF BUSINESS, 1963, 36 (04) : 420 - 429

[9] GALLANT AR, 1988, UNPUB FITTING RECALC

[10] A NEW APPROACH TO THE ECONOMIC-ANALYSIS OF NONSTATIONARY TIME-SERIES AND THE BUSINESS-CYCLE [J]. ECONOMETRICA, 1989, 57 (02) : 357 - 384