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Capital income
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Conference on Risk and the Rate of Return <1973, Vail, Colo.>
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University of Hong Kong / School of Economics and Finance
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Journal of banking & finance
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Applied economics letters
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Finance and economics discussion series
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International journal of economics and finance
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ECONIS (ZBW)
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EconStor
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1
Nonparametric predictive regression
Kasparis, Ioannis
;
Andreou, Elena
;
Phillips, Peter C. B.
- In:
Journal of econometrics
185
(
2015
)
2
,
pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
Saved in:
2
Parametric and nonparametric
estimation
of conditional return expectations
Drobetz, Wolfgang
;
Hoechle, Daniel
- In:
Risk management : challenge and opportunity ; with 125 …
,
(pp. 169-196)
.
2005
Persistent link: https://www.econbiz.de/10002447562
Saved in:
3
A quantile regression approach to estimating the distribution of multiperiod returns
Taylor, James W.
- In:
The journal of derivatives : the official publication …
7
(
1999
)
1
,
pp. 64-78
Persistent link: https://www.econbiz.de/10001432473
Saved in:
4
Nonlinear predictability of stock returns? : parametric versus nonparametric inference in predictive regressions
Demetrescu, Matei
;
Hillmann, Benjamin
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 382-397
Persistent link: https://www.econbiz.de/10012804123
Saved in:
5
A semiparametric nonlinear quantile regression model for financial returns
Avdulaj, Krenar
;
Barunik, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10011650231
Saved in:
6
Modeling US stock market volatility-return dependence using conditional copula and quantile regression
Agbeyegbe, Terence D.
- In:
The economics of the global environment : catastrophic …
,
(pp. 597-621)
.
2016
Persistent link: https://www.econbiz.de/10011730810
Saved in:
7
Time-Varying Predictability of the Long Horizon Equity Premium Based on Semiparametric Regressions
Yu, Deshui
;
Li, Chen
;
Li, Luyang
-
2023
illustrates that the nonparametric
estimation
method works well in finite and large samples. Empirically, the predictability of …
Persistent link: https://www.econbiz.de/10014258471
Saved in:
8
Macroeconomics and the value premium
Jacobsen, Brian
;
Lee, Wai
- In:
The journal of asset management : a major new, …
22
(
2021
)
4
,
pp. 241-252
Persistent link: https://www.econbiz.de/10012581614
Saved in:
9
Panel
data tests of return models with applications to global stock returns
Hjalmarsson, Erik
-
2005
Persistent link: https://www.econbiz.de/10003553376
Saved in:
10
Does mixed-frequency investor sentiment impact stock returns? : based on the empirical study of MIDAS regression model
Yang, Chunpeng
;
Zhang, Rengui
- In:
Applied economics
46
(
2014
)
7/9
,
pp. 966-972
Persistent link: https://www.econbiz.de/10010399534
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