Testing for episodic predictability in stock returns
Matei Demetrescu, Iliyan Georgiev, Paulo M.M. Rodrigues, A.M. Robert Taylor
| Year of publication: |
2022
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|---|---|
| Authors: | Demetrescu, Matei ; Georgiev, Iliyan ; Rodrigues, Paulo M. M. ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 85-113
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| Subject: | Endogeneity | Conditional and unconditional heteroskedasticity | Persistence | Predictive regression | Rolling and recursive IV estimation | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Börsenkurs | Share price | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.01.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441625