Nonlinear predictability of stock returns? : parametric versus nonparametric inference in predictive regressions
Matei Demetrescu and Benjamin Hillmann
| Year of publication: |
2022
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|---|---|
| Authors: | Demetrescu, Matei ; Hillmann, Benjamin |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 1, p. 382-397
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| Subject: | Endogeneity | Chi-square distribution | Nonlinear regression function | Predictive regression | Time-varying variance | Unknown persistence | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Börsenkurs | Share price | Schätztheorie | Estimation theory | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1819821 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012804123