A frequency-domain alternative to long-horizon regressions with application to return predictability
Year of publication: |
2014
|
---|---|
Authors: | Sizova, Natalia |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 28.2014, C, p. 261-272
|
Publisher: |
Elsevier |
Subject: | Predictive regression | Semiparametric method | Local-to-unity | Long memory | Long-horizon regression | Subsampling |
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