Return predictability and intertemporal asset allocation : evidence from a bias-adjusted VAR model
Tom Engsted, Thomas Q. Pedersen
| Year of publication: |
2012
|
|---|---|
| Authors: | Engsted, Tom ; Pedersen, Thomas Q. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 2, p. 241-253
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| Subject: | Intertemporal portfolio choice | Return predictability | VAR model | Small-sample bias | Utility calculations | Out-of-sample evaluation | Portfolio-Management | Portfolio selection | VAR-Modell | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Theorie | Theory | Risikomaß | Risk measure | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns | Intertemporale Entscheidung | Intertemporal choice | Systematischer Fehler | Bias |
| 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/10009615710