The importance of large shocks to return predictability
Year of publication: |
2021
|
---|---|
Authors: | Díaz, Juan ; Duarte, Diogo ; Gil, Hamilton Galindo ; Montecinos, Alexis ; Truffa, Santiago |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 68.2021, p. 1-12
|
Subject: | Bias correction | China trade shock | Directional trading | In- and out-of-sample forecast | Return predictability | Prognoseverfahren | Forecasting model | Schock | Shock | China | Kapitaleinkommen | Capital income | Prognose | Forecast | VAR-Modell | VAR model | Systematischer Fehler | Bias |
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