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The dog that did not bark : a defense of return predictability

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The dog that did not bark : a defense of return predictability

Cochrane, John H. - 2006

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New facts in finance

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Dividend yields, dividend growth, and return predictability in the cross section of stocks

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Multifactor models and their consistency with the ICAPM

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Predicting volatility: getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of econometrics 131 (2006) 1/2, pp. 59-95

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A simulation approach to dynamic portfolio choice with an application to learning about return predictability

Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - 2004

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A simulation approach to dynamic portfolio choice with an application to learning about returns predictability

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Predicting volatility : getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004

"We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in...

Persistent link: https://www.econbiz.de/10002482290