Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nima Nonejad
| Year of publication: |
2023
|
|---|---|
| Authors: | Nonejad, Nima |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 70.2023, p. 91-122
|
| Subject: | Conditional out-of-sample relative predictability | Economic predictors | Equity return | Equity return volatility | Forecast (prediction) selection strategy | Value-at-Risk | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Theorie | Theory | Prognose | Forecast | Aktienmarkt | Stock market | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitalmarktrendite | Capital market returns | Risikoprämie | Risk premium | Börsenkurs | Share price | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2022.11.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014423619