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Consumption, aggregate wealth and expected stock returns : a fractional cointegration approach

Ren, Yu; Xie, Tian - In: Quantitative finance 18 (2018) 12, pp. 2101-2112

Persistent link: https://www.econbiz.de/10012262986

Consumption, aggregate wealth and expected stock returns : an FCVAR approach

Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10012437824

Factor models of stock returns : GARCH errors versus time-varying betas

Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; … - In: Journal of forecasting 35 (2016) 5, pp. 445-461

Persistent link: https://www.econbiz.de/10011580985

Consumption, aggregate wealth and expected stock returns : a quantile cointegration approach

Quineche, Ricardo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 5, pp. 693-703

Persistent link: https://www.econbiz.de/10013554939

Estimating expected asset returns with the present value model of consumption and fed forecasts

Kishor, Narayan Kundan - In: The B.E. journal of macroeconomics 24 (2024) 2, pp. 997-1007

Persistent link: https://www.econbiz.de/10015433414

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...

Persistent link: https://www.econbiz.de/10009389845