Predicting stock market movements with a time-varying consumption-aggregate wealth ratio
Tsangyao Chang, Rangan Gupta, Anandamayee Majumdar, Christian Pierdzioch
| Year of publication: |
2019
|
|---|---|
| Authors: | Chang, Tsangyao ; Gupta, Rangan ; Majumdar, Anandamayee ; Pierdzioch, Christian |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 59.2019, p. 458-467
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| Subject: | Stock returns | Volatility | Consumption-aggregate wealth ratio | Nonparametric causality-in-quantiles test | Time-varying cointegration | Volatilität | Kapitaleinkommen | Capital income | Vermögen | Wealth | Kointegration | Cointegration | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Impact-Factor: 1.818 (Stand 2019) SJR Faktor: 0.813 / Q1 Journal (Stand 2019) H-Index: 47 (Stand 2019) |
| Other identifiers: | 10.1016/j.iref.2018.10.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012203261