Modeling the out-of-sample predictive relationship between equity premium, returns on the price of crude oil and economic policy uncertainty using multivariate time-varying dimension models
Nima Nonejad
| Year of publication: |
2023
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| Authors: | Nonejad, Nima |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 126.2023, p. 1-20
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| Subject: | Discount factor | Equity premium | Newspaper-based economic policy uncertainty | Returns on the price of crude oil | State-space representation | Time-varying dimension | Ölpreis | Oil price | Risikoprämie | Risk premium | Schätzung | Estimation | CAPM | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Welt | World | Prognoseverfahren | Forecasting model | Diskontierung | Discounting | Risiko | Risk | Volatilität | Volatility | Wirtschaftspolitik | Economic policy |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2023.106964 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014483453