Title:

Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship

Authors:

Vasco Gabriel (U Surrey)
Luis Martins (ISCTE - Instituto Universitário de Lisboa)

Journal:

Empirical Economics

Year:

2011

Volume:

41

Pages:

639-662

JEL codes:

C22 - Time-Series Models
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G35 - Payout Policy