Search Results - subject:"predictive regressions"

Hypothesis tests with a repeatedly singular information matrix

Amengual, Dante; Bei, Xinyue; Sentana, Enrique - 2020

Persistent link: https://www.econbiz.de/10012208314

Testing return predictability with the dividend-growth equation : an anatomy of the dog

Hjalmarsson, Erik; Kiss, Tamás - 2019

Persistent link: https://www.econbiz.de/10012064768

Predictability in equity markets : estimation and inference

Kiss, Tamás - 2019

Persistent link: https://www.econbiz.de/10012292152

Forecasting the real prices of crude oil : a robust weighted least squares approach

Wang, Yudong; Hao, Xianfeng - In: Energy economics 116 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013542061

"Déjà vol" revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios

Conrad, Christian; Glas, Alexander - 2018

We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of...

Persistent link: https://www.econbiz.de/10012141442