Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Florian Huber, Gregor Kastner, Michael Pfarrhofer
| Year of publication: |
2025
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|---|---|
| Authors: | Huber, Florian ; Kastner, Gregor ; Pfarrhofer, Michael |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 68.2025, 2, p. 535-553
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| Subject: | Dynamic regression | Fundamental factors | Non-Gaussian models | S&P 500 | Stochastic volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Zustandsraummodell | State space model | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Regressionsanalyse | Regression analysis | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-023-02437-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015193830