Testing for predictability in conditionally heteroskedastic stock returns
Joakim Westerlund and Paresh Narayan
| Year of publication: |
2015
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|---|---|
| Authors: | Westerlund, Joakim ; Narayan, Paresh Kumar |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 2, p. 342-375
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| Subject: | predictability | FQGLS | conditional heteroskedasticity | subsampling | stock returns | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | Schätzung | Estimation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011339304