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Spurious regressions in financial economics?
Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy T. - In: The journal of finance : the journal of the American … 58 (2003) 4, pp. 1393-1414
Persistent link: https://www.econbiz.de/10001780902
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Spurious regressions in financial economics?
Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy T. - 2002
Persistent link: https://www.econbiz.de/10001695917
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Spurious Regressions in Financial Economics?
Ferson, Wayne E. - 2010
Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The...
Persistent link: https://www.econbiz.de/10012762990
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Spurious Regressions in Financial Economics?
Ferson, Wayne E. - 2002
Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The...
Persistent link: https://www.econbiz.de/10012469566
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Market efficiency and forecasting
Ferson, Wayne E. - In: Forecasting expected returns in the financial markets, (pp. 1-15). 2007
Persistent link: https://www.econbiz.de/10003557915
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Theory and empirical testing of asset pricing models
Ferson, Wayne E. - In: Finance, (pp. 145-200). 1995
Persistent link: https://www.econbiz.de/10001318021
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Changes in expected security returns, risk, and the level of interest rates
Ferson, Wayne E. - In: The journal of finance : the journal of the American … 44 (1989) 5, pp. 1191-1217
Persistent link: https://www.econbiz.de/10001080362
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Are the latent variables in time-varying expected returns compensation for consumption risk?
Ferson, Wayne E. - In: The journal of finance : the journal of the American … 45 (1990) 2, pp. 397-429
Persistent link: https://www.econbiz.de/10001089800
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Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Persistent link: https://www.econbiz.de/10001832884
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Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Persistent link: https://www.econbiz.de/10001731377