Comovements of the Dow Jones Stock Index and US GDP
2010 (English)Report (Other academic)
This paper explores the connection between Dow Jones industrial average (DJIA) stock prices and the US GDP growth. Both series are heteroscedastic, making standard detrending procedures, such as Hodrick-Prescott or Baxter-King, inadequate. The results from these procedures are compared to the results from heteroscedasticity corrected data, thus the effect of the neglected heteroscedasticity is measured. The analysis is mainly done in the frequency domain but relevant time domain results are also reported.
Place, publisher, year, edition, pages
Stockholm: Department of Statistics, Stockholm University , 2010. , 29 p.
Research Report / Department of Statistics, Stockholm University, ISSN 0280-7564 ; 2
Spectral analysis, detrending filters, heteroscedasticity, the connection between stock prices and economic growth
Probability Theory and Statistics
Research subject Statistics
IdentifiersURN: urn:nbn:se:su:diva-38648OAI: oai:DiVA.org:su-38648DiVA: diva2:311767