Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Year of publication: |
2017
|
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Authors: | Gungor, Sermin ; Luger, Richard |
Publisher: |
Ottawa : Bank of Canada |
Subject: | Econometric and statistical methods | Asset pricing | Financial markets |
Series: | Bank of Canada Staff Working Paper ; 2017-10 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.34989/swp-2017-10 [DOI] 881939854 [GVK] hdl:10419/197935 [Handle] RePEc:bca:bocawp:17-10 [RePEc] |
Classification: | C12 - Hypothesis Testing ; C32 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Gungor, Sermin, (2017)
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Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
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Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Gungor, Sermin, (2014)
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Gungor, Sermin, (2013)
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Testing linear factor pricing models with large cross-sections: A distribution-free approach
Gungor, Sermin, (2010)
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