“Volatility Tests and Efficient Markets: A Review Essay”

Journal of Monetary Economics 27 (May 1991) 463-485. A review essay supposedly about Shiller’s book. It got me to think hard about volatility tests, and prove that they are exactly equivalent to regressions that forecast returns from price-dividend ratios.

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Why Test the Permanent Income Hypothesis?

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A Critique of The Application of Unit Root Tests