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Testing for structural stability of factor augmented forecasting models
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 182 (2014) 1, pp. 100-118
Persistent link: https://www.econbiz.de/10010497112
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Residual-augmented IVX predictive regression
Demetrescu, Matei; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 2, pp. 429-460
Persistent link: https://www.econbiz.de/10013442118
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A reexamination of stock return predictability
Choi, Yongok; Jacewitz, Stefan; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin; Luger, Richard - In: Journal of econometrics 218 (2020) 2, pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
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High-dimensional predictive regression in the presence of cointegration
Koo, Bonsoo; Anderson, Heather M.; Seo, Myung Hwan; … - In: Journal of econometrics 219 (2020) 2, pp. 456-477
Persistent link: https://www.econbiz.de/10012483404
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A unified test for predictability of asset returns regardless of properties of predicting variables
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159
Persistent link: https://www.econbiz.de/10012139823
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Testing for episodic predictability in stock returns
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
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Semi-parametric single-index predictive regression models with cointegrated regressors
Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - In: Journal of econometrics 238 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10015073842
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Penetrating sporadic return predictability
Tu, Yundong; Xie, Xinling - In: Journal of econometrics 237 (2023) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10014471472
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Extensions to IVX methods of inference for return predictability
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30
Persistent link: https://www.econbiz.de/10014471800