Coincident and Leading Indicators of the Stock Market
Preprint
- 1 January 2000
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
In this paper we have two goals: first, we want to represent monthly stock market fluctuations by constructing a nonlinear coincident financial indicator. The iKeywords
This publication has 17 references indexed in Scilit:
- Asset returns and inflationPublished by Elsevier ,2002
- Dividend yields and expected stock returnsPublished by Elsevier ,2002
- Stock Market Fluctuations And The Business CycleSSRN Electronic Journal, 2001
- An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime SwitchingInternational Economic Review, 1998
- Nonlinear RiskSSRN Electronic Journal, 1998
- Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching ModelsInternational Economic Review, 1998
- Business conditions and expected returns on stocks and bondsJournal of Financial Economics, 1989
- The Dividend-Price Ratio and Expectations of Future Dividends and Discount FactorsThe Review of Financial Studies, 1988
- Economic Forces and the Stock MarketThe Journal of Business, 1986
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979