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Forecasting random walks under drift instability

Pesaran, M. Hashem; Pick, Andreas - 2009

Persistent link: https://www.econbiz.de/10003816240

Forecasting random walks under drift instability

Pesaran, M. Hashem; Pick, Andreas - 2008

Persistent link: https://www.econbiz.de/10003850869

Forecasting random walks under drift instability

Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003711763

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012756639

Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

Persistent link: https://www.econbiz.de/10012714199

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...