Forecasting the equity premium using weighted regressions : Does the jump variation help?
Year of publication: |
2024
|
---|---|
Authors: | Zhang, Zhikai ; Zhang, Yaojie ; Wang, Yudong |
Subject: | Equity premium | Jump variation | Jump-robust variance | Weighted least squares | Risikoprämie | Risk premium | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | CAPM | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation |
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