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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

A reexamination of stock return predictability

Choi, Yongok; Jacewitz, Stefan; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 168-189

Persistent link: https://www.econbiz.de/10011617132

Semiparametric single-index predictive regression

Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - 2019

Persistent link: https://www.econbiz.de/10012703312

Tales of tails : jumps in currency markets

Lee, Suzanne S.; Wang, Minho - In: Journal of financial markets 48 (2020), pp. 1-29

Persistent link: https://www.econbiz.de/10012631807

Predictive regression with p-lags and order-q autoregressive predictors

Jayetileke, Harshanie L.; Wang, You-Gan; Zhu, Min - In: Journal of empirical finance 62 (2021), pp. 282-293

Persistent link: https://www.econbiz.de/10012693434

Nonparametric predictive regressions for stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019

Persistent link: https://www.econbiz.de/10012592220

Finite sample analysis of predictive regressions with long-horizon returns

Kan, Raymond; Pan, Jiening - 2021 - This version: February 2021

In this paper, we provide an exact finite sample analysis of predictive regressions with overlapping long-horizon returns. This analysis allows us to evaluate the reliability of various asymptotic theories for predictive regressions in finite samples. In addition, our finite sample analysis...

Persistent link: https://www.econbiz.de/10012593767

Optimizing stock market returns during global pandemic using regression in the context of Indian stock market

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again...

Persistent link: https://www.econbiz.de/10012627066

LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices

Ginker, Tim; Lieberman, Offer - In: The econometrics journal 24 (2021) 1, pp. 58-82

Persistent link: https://www.econbiz.de/10012504449

Common firm-specific characteristics of extreme performers on the Johannesburg Securities Exchange

Van Heerden, JD; Van Rensburg, Paul - In: Economics, management and financial markets 12 (2017) 3, pp. 25-50

Persistent link: https://www.econbiz.de/10011885839

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