G William Schwert
Biographic Data
| ID | 5850718 |
|---|---|
| NAME | G William Schwert |
| GIVEN NAMES | G William |
| FAMILY NAME | Schwert |
| SIGNATURE | SCHWERT G W |
| AFFILIATIONS | University of Rochester |
| VERIFIED | No |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 2 |
| AUTHOR COUNT | 5 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1983 |
| LATEST PUBLICATION YEAR | 2002 |
| H-INDEX | 1 |
Tests for Unit Roots
Recent work by Said and Dickey (1984, 1985), Phillips (1987), and Phillips and Perron (1988) examines tests for unit roots in the autoregressive part of mixed autoregressive integrated moving average models (tests for stationarity). Monte Carlo experiments show that these unit-root tests have different finite-sample distributions from the unit-root tests developed by Fuller (1976) and Dickey and Fuller (1979, 1981) for autoregressive processes. I…
Tests for Unit Roots
Recent work by Said and Dickey(1964,1965). t'hillips (1957). and Phillips end Monte Carlo experisents show that these unit root tests have different finite sample distributions than the unit root tests developed by In particular, the tests developed by Phillips(1987) and
Expected stock returns and volatility
Information Aggregation, Inflation, and the Pricing of Indexed Bonds
Effects of Nominal Contracting on Stock Returns
This paper examines the effects of unexpected inflation on the returns to the common stock of companies with different short-term monetary positions, and different long-term monetary positions, and different amounts of nominal tax shields. Unlike most previous studies of the effects of nominal contracting, we distinguish between expected and unexpected inflation in our tests. Surprisingly, over the 1947-79 period there is little evidence that sto…
Effects of Nominal Contracting on Stock Returns
This paper examines the effects of unexpected inflation on the returns to the common stock of companies with different short-term monetary positions, and different long-term monetary positions, and different amounts of nominal tax shields. Unlike most previous studies of the effects of nominal contracting, we distinguish between expected and unexpected inflation in our tests. Surprisingly, over the 1947-79 period there is little evidence that sto…
Information Aggregation, Inflation, and the Pricing of Indexed Bonds
Expected stock returns and volatility
Tests for Unit Roots
Recent work by Said and Dickey(1964,1965). t'hillips (1957). and Phillips end Monte Carlo experisents show that these unit root tests have different finite sample distributions than the unit root tests developed by In particular, the tests developed by Phillips(1987) and
Tests for Unit Roots
Recent work by Said and Dickey (1984, 1985), Phillips (1987), and Phillips and Perron (1988) examines tests for unit roots in the autoregressive part of mixed autoregressive integrated moving average models (tests for stationarity). Monte Carlo experiments show that these unit-root tests have different finite-sample distributions from the unit-root tests developed by Fuller (1976) and Dickey and Fuller (1979, 1981) for autoregressive processes. I…
Econometrics (3 works) · Economics (3 works) · Monetary economics (3 works) · Monetary Policy and Economic Impact (3 works) · Applied Mathematics (2 works) · Augmented Dickey–Fuller test (2 works) · Autoregressive integrated moving average (2 works) · Autoregressive model (2 works) · Cointegration (2 works) · Financial Markets and Investment Strategies (2 works)