Dewachter, H. and Veestraeten, D. (1998). Expectation revisions and jumps in asset prices Economics Letters, 59(3):367--372.
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Affiliated authorDirk Veestraeten
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Publication year1998
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JournalEconomics Letters
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.