Christoffersen, Peter; Ghysels, Eric; Swanson, Norman - Econometric Society - 2000
Breeden, Gibbons and Litzenberger (1989), and Lamont (1999), use "economic tracking portfolios" to forecast macroeconomic data. Tracking portfolios are constructed to reflect market expectations and reveal the impact of news. However, these papers, as well as many related studies which examine...
