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|z 9781451845082
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|a 1018-5941
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|a Kramer, Charles.
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|a Nonlinearity and Endogeneity in Macro-Asset Pricing /
|c Charles Kramer, Craig Hiemstra.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 1995.
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|a 1 online resource (30 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the interaction between the economy and the stock market is more complicated than given by the simple relationship in Chen, Roll and Ross (1986). It also suggests that the univariate evidence for nonlinear dynamics in the stock market may be due to the complicated relationship between the macroeconomy and the stock market.
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|a Mode of access: Internet
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|a Hiemstra, Craig.
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|a IMF Working Papers; Working Paper ;
|v No. 1995/032
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/1995/032/001.1995.issue-032-en.xml
|z IMF e-Library
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