A non-parametric test and predictive model for signed path dependence
Fabio S. Dias, Gareth W. Peters
| Year of publication: |
2020
|
|---|---|
| Authors: | Dias, Fabio S. ; Peters, Gareth |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 2, p. 461-498
|
| Subject: | Empirical asset pricing | Serial correlation | Time series momentum | Econometric forecasting | Quantitative investment strategies | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Pfadabhängigkeit | Path dependence | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09934-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012272043