Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10010233601
This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...
Persistent link: https://www.econbiz.de/10013132892
This paper develops new inference methods for testing the expectations hypothesis in a general econometric framework. In particular, we consider nonparametric tests of the predictability of excess returns in the presence of MA disturbances. We discuss several alternatives of aggregation and...
Persistent link: https://www.econbiz.de/10013134230
Using USD bilateral exchange rates in 1975-2009, we find that the strong predictability of foreign excess returns documented in the literature is mainly driven by a particular sample period. We first show that both the statistically significant positive serial dependence of excess returns in the...
Persistent link: https://www.econbiz.de/10013146877
Persistent link: https://www.econbiz.de/10012261655