Inferring the predictability induced by a persistent regressor in a predictive threshold model
Jesùs Gonzalo, Jean-Yves Pitarakis
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Gonzalo, Jesús ; Pitarakis, Jean-Yves |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 2, p. 202-217
|
| Subject: | Predictability of stock returns | Predictive regressions | Threshold effects | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns | Börsenkurs | Share price | Theorie | Theory | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2016.1164054 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704166