Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions
Nima Nonejad
| Year of publication: |
2021
|
|---|---|
| Authors: | Nonejad, Nima |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 61.2021, 2, p. 973-1009
|
| Subject: | Aggregate equity returns | Conditional volatility | Density prediction accuracy | Value-at-risk | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Schätzung | Estimation | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kapitalmarktrendite | Capital market returns | Börsenkurs | Share price | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-020-01882-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012616915