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  • Search: subject:"Augmented regression method"
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Year of publication
Subject
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Aktienindex 1 Augmented Regression Method (ARM) 1 Augmented regression method 1 Autoregressive Augmented regression method (ARM) 1 Betriebliche Kennzahl 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Bootstrapping 1 Capital income 1 Estimation 1 Financial ratio 1 Financial ratios 1 Forecast 1 Forecasting 1 Forecasting model 1 Hypothesis Testing 1 Kapitaleinkommen 1 Prognose 1 Prognoseverfahren 1 Regression analysis 1 Regressionsanalyse 1 Schätzung 1 Statistical test 1 Statistischer Test 1 Stock index 1 Technical indicators 1 Wild bootstrap 1
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Online availability
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Undetermined 2
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Amihud, Yakov 2 Wang, Yi 2 Charles, Amélie 1 Darné, Olivier 1 Hurvich, Clifford 1 Hurvich, Clifford M. 1 Kim, Jae H. 1
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Institution
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EconWPA 1
Published in...
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Finance 1 International review of financial analysis 1 Journal of Empirical Finance 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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International stock return predictability : evidence from new statistical tests
Charles, Amélie; Darné, Olivier; Kim, Jae H. - In: International review of financial analysis 54 (2017), pp. 97-113
Persistent link: https://www.econbiz.de/10011878164
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Predictive regression with order-p autoregressive predictors
Amihud, Yakov; Hurvich, Clifford M.; Wang, Yi - In: Journal of Empirical Finance 17 (2010) 3, pp. 513-525
. We develop a generalized augmented regression method that produces a reduced-bias point estimate of the predictive …
Persistent link: https://www.econbiz.de/10008494455
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Hypothesis Testing in Predictive Regressions
Amihud, Yakov; Hurvich, Clifford; Wang, Yi - EconWPA - 2004
We propose a new hypothesis testing method for multi-predictor regressions with finite samples, where the dependent variable is regressed on lagged variables that are autoregressive. It is based on the augmented regressiom method (ARM; Amihud and Hurvich (2004)), which produces reduced-bias...
Persistent link: https://www.econbiz.de/10005134648
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