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Title: Expectation revisions and jumps in asset prices
Authors: Dewachter, Hans ×
Veestraeten, Dirk #
Issue Date: Jun-1998
Publisher: Elsevier science sa
Series Title: Economics letters vol:59 issue:3 pages:367-372
Abstract: When fundamentals follow a Markov switching process asset prices must jump when agents revise their inferences about the active regime. We estimate the jump size accompanying regime switches in the fundamental for the NYSE Composite Index and various individual stocks. (C) 1998 Elsevier Science S.A.
ISSN: 0165-1765
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of International Economics, Leuven
Department of Economics, Leuven - miscellaneous
× corresponding author
# (joint) last author

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