Characteristics, covariances, and structural breaks

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31309

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31309

Title:	Characteristics, covariances, and structural breaks
Authors:	Chou,Pin-Huang;Ko,Kuan-Cheng
Contributors:	財務金融研究所
Keywords:	STOCK RETURNS;CROSS-SECTION;MARKET
Date:	2008
Issue Date:	2010-07-06 17:41:48 (UTC+8)
Publisher:	中央大學
Abstract:	By applying Bai and Peffon's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-inarket premium. W
Relation:	ECONOMICS LETTERS????
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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