Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework

C-Tier

Journal: Economics Letters

Year: 2004

Volume: 82

Issue: 2

Pages: 157-165

Authors (2)

Bhar, Ramaprasad (not in RePEc) Hamori, Shigeyuki (Yamato University)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count