A frequency-domain alternative to long-horizon regressions with application to return predictability
Year of publication: |
2014
|
---|---|
Authors: | Sizova, Natalia |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 28.2014, p. 261-272
|
Subject: | Predictive regression | Semiparametric method | Local-to-unity | Long memory | Long-horizon regression | Subsampling | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Schätzung | Estimation |
-
Nonparametric predictive regression
Kasparis, Ioannis, (2015)
-
Demetrescu, Matei, (2022)
-
Tales of tails : jumps in currency markets
Lee, Suzanne S., (2020)
- More ...
-
High-Frequency Financial Volatility and the Pricing of Volatility Risk
Sizova, Natalia, (2009)
-
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim, (2009)
-
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim, (2009)
- More ...