| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2823 |
| DP2823 Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion | |
| Alexander Michaelides | |
| 发表日期 | 2001-06-26 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This Paper studies how the HP-Filter should be adjusted, when changing the frequency of observations. It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the observation frequency ratios. This yields an HP parameter value of 6.25 for annual data given a value of 1600 for quarterly data. The relevance of the suggestion is illustrated empirically. |
| 主题 | International Macroeconomics |
| 关键词 | Business cycles Trends Hp-filter Temporal aggregation Historical business cycle properties |
| URL | https://cepr.org/publications/dp2823 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531911 |
| 推荐引用方式 GB/T 7714 | Alexander Michaelides. DP2823 Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Alexander Michaelides]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Alexander Michaelides]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Alexander Michaelides]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
