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Nonlinear predictability of stock returns? : parametric versus nonparametric inference in predictive regressions
Demetrescu, Matei; Hillmann, Benjamin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 382-397
Persistent link: https://www.econbiz.de/10012804123
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Gaussian inference in predictive regressions for stock returns
Demetrescu, Matei; Hillmann, Benjamin - 2025
Persistent link: https://www.econbiz.de/10015339754
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Enhancing CAPE models : leveraging conditional clustering-based linear regression to predict 10-Year US equity returns
Wu, Boyu; DiCiurcio, Kevin J. - In: The journal of financial data science 6 (2024) 4, pp. 10-24
Persistent link: https://www.econbiz.de/10015196302
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A new approach to modeling sector stock returns in China
Chong, Terence Tai-Leung; Li, Nasha; Zou, Lin - In: The Chinese economy 50 (2017) 5, pp. 305-322
Persistent link: https://www.econbiz.de/10011822211
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Inferring the predictability induced by a persistent regressor in a predictive threshold model
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 202-217
Persistent link: https://www.econbiz.de/10011704166
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Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression
Nath, Harmindar B.; Brooks, Robert - In: International review of economics & finance : IREF 38 (2015), pp. 94-111
Persistent link: https://www.econbiz.de/10011572339
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Can stale oil price news predict stock returns?
Narayan, Paresh Kumar - In: Energy economics 83 (2019), pp. 430-444
Persistent link: https://www.econbiz.de/10012176160
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Investor sentiment and the prediction of stock returns : a quantile regression approach
Ma, Chen; Xiao, Shisong; Ma, Zonggang - In: Applied economics 50 (2018) 50, pp. 5401-5415
Persistent link: https://www.econbiz.de/10012062185
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Cash-flow or return predictability at long horizons? : the case of earnings yield
Maio, Paulo; Xu, Danielle - In: Journal of empirical finance 59 (2020), pp. 172-192
Persistent link: https://www.econbiz.de/10012437972
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Is stock return predictability time-varying?
Devpura, Neluka; Narayan, Paresh Kumar; Sharma, Susan Sunila - In: Journal of international financial markets, … 52 (2018), pp. 152-172
Persistent link: https://www.econbiz.de/10011986233