Long-horizon return regressions with historical volatility and other long-memory variables
Natalia Sizova
| Year of publication: |
2013
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|---|---|
| Authors: | Sizova, Natalia |
| 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. 31.2013, 4, p. 546-559
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| Subject: | Long-range dependence | Return predictability | Spurious regression | Regressionsanalyse | Regression analysis | Volatilität | Volatility | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Aktienindex | Stock index |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010337850