Are the Dynamic Linkages Between the Macroeconomy and Asset Prices Time-Varying?

Guidolin, M. and Ono, S. (2006) Are the Dynamic Linkages Between the Macroeconomy and Asset Prices Time-Varying? Journal of Economics and Business, 58 (5-6). pp. 480-518. ISSN 0148-6195

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Keywords: Predictability; Multivariate regime switching; Predictive density tests; Sharpe ratios
Institution: The University of York
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 03 Aug 2009 15:15
Last Modified: 03 Aug 2009 15:15
Published Version: http://dx.doi.org/10.1016/j.jeconbus.2006.06.009
Status: Published
Publisher: Elsevier
Identification Number: 10.1016/j.jeconbus.2006.06.009

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