Inferring the predictability induced by a persistent regressor in a predictive threshold model
Year of publication: |
April 2017
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Authors: | Gonzalo, Jesús ; Pitarakis, Jean-Yves |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 2, p. 202-217
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Subject: | Predictability of stock returns | Predictive regressions | Threshold effects | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Regressionsanalyse | Regression analysis | Börsenkurs | Share price | Theorie | Theory | Schätzung | Estimation | Autokorrelation | Autocorrelation |
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