Return predictability and intertemporal asset allocation : evidence from a bias-adjusted VAR model
Year of publication: |
2012
|
---|---|
Authors: | Engsted, Tom ; Pedersen, Thomas Q. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 2, p. 241-253
|
Subject: | Intertemporal portfolio choice | Return predictability | VAR model | Small-sample bias | Utility calculations | Out-of-sample evaluation | Theorie | Theory | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | VAR-Modell | Kapitaleinkommen | Capital income | Schätzung | Estimation | Systematischer Fehler | Bias | Risikomaß | Risk measure |
-
Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng, (2023)
-
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli, (2018)
-
Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
Engsted, Tom, (2012)
- More ...
-
Bias-correction in vector autoregressive models: A simulation study
Engsted, Tom, (2014)
-
The dividend-price ratio does predict dividend growth : international evidence
Engsted, Tom, (2009)
-
Pitfalls in VAR based return decompositions : a clarification
Engsted, Tom, (2010)
- More ...