Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Year of publication: |
2020
|
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Authors: | Gupta, Rangan ; Huber, Florian ; Piribauer, Philipp |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 68.2020, p. 1-13
|
Subject: | International equity markets | Time-varying vector autoregression | Point and density forecasts | Portfolio allocation | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Kapitaleinkommen | Capital income | Welt | World | Aktienmarkt | Stock market | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model |
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