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
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 | Risikoprämie | Risk premium | Ölpreis | Oil price | Kapitaleinkommen | Capital income | Wirtschaftspolitik | Economic policy | Schätzung | Estimation | CAPM | Diskontierung | Discounting | Risiko | Risk | Volatilität | Volatility | Welt | World | Börsenkurs | Share price | Prognoseverfahren | Forecasting model |
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