Forecasting the equity premium using weighted regressions : Does the jump variation help?
Zhikai Zhang, Yaojie Zhang, Yudong Wang
| Year of publication: |
2024
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| Authors: | Zhang, Zhikai ; Zhang, Yaojie ; Wang, Yudong |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 66.2024, 5, p. 2049-2082
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| Subject: | Equity premium | Jump variation | Jump-robust variance | Weighted least squares | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | CAPM | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-023-02521-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014520108