The importance of large shocks to return predictability
Juan Diaz, Diogo Duarte, Hamilton Galindo, Alexis Montecinos, Santiago Truffa
| Year of publication: |
2021
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|---|---|
| Authors: | Díaz, Juan ; Duarte, Diogo ; Gil, Hamilton Galindo ; Montecinos Bravo, Alexis ; Truffa, Santiago |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 68.2021, p. 1-12
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| Subject: | Bias correction | China trade shock | Directional trading | In- and out-of-sample forecast | Return predictability | Schock | Shock | China | Prognoseverfahren | Forecasting model | Prognose | Forecast | Kapitaleinkommen | Capital income | VAR-Modell | VAR model | Schätzung | Estimation | Internationale Wirtschaft | International economy |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2021.101518 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013332805