Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Rangan Gupta, Florian Huber, Philipp Piribauer
| 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
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| Subject: | International equity markets | Time-varying vector autoregression | Point and density forecasts | Portfolio allocation | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Großbritannien | United Kingdom | Japan | Aktienmarkt | Stock market | Schätzung | Estimation | Deutschland | Germany | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2020.101456 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012300967