Showing 1 - 10 of 8,753
Persistent link: https://www.econbiz.de/10000955449
Persistent link: https://www.econbiz.de/10000956285
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10003728591
Persistent link: https://www.econbiz.de/10003061506
, France, Italy, the Netherlands, and the UK. We find that even when accounting for expectations, represented by the economic …
Persistent link: https://www.econbiz.de/10003338244
Persistent link: https://www.econbiz.de/10003437912
large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …
Persistent link: https://www.econbiz.de/10003670896
Persistent link: https://www.econbiz.de/10003554618
Persistent link: https://www.econbiz.de/10003877884