Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev
x
+ +−+
= , lags of which
forecast the return on aggregate wealth or its volatility. As in Campbell (1996), we also … assume that
r
mt, +1
and x
t+1
follow a first-order vector autoregressive (VAR) process:
(8) sAAs
ttt++
=++
10 1
ε … ,
where
1,11,1 1,1
[ , ,..., ]
tmtt Kt
srx x
+++−+
= , A
0
is a K-by-1 vector of constants, A is a K-by-K matrix, and
11 …