An investigation into multivariate variance ratio statistics and their application to stock market predictability
Seok Young Hong; Oliver Linton; Hui Jun Zhang
| Year of publication: |
2017
|
|---|---|
| Authors: | Hong, Seok Young ; Linton, Oliver ; Zhang, Hui Jun |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 2, p. 173-222
|
| Subject: | bubbles | fads | martingale | momentum | predictability | power | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Spekulationsblase | Bubbles | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbw014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011987413