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variables. Our sample includes UK manufacturing sectors over the 2004-2012 time span. We find that sectors that raised more …
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portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …
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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...
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