A reexamination of stock return predictability

DOI10.1016/J.JECONOM.2015.02.048zbMath1419.62223OpenAlexW2231089071MaRDI QIDQ5964757

Stefan Jacewitz, Joon Y. Park, Yongok Choi

Publication date: 1 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.048

zbMATH Keywords

stochastic volatilitynonstationaritytime changepredictive regressionCauchy estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

A perspective on recent methods on testing predictability of asset returns ⋮ Testing heteroskedasticity for predictive regressions with nonstationary regressors ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Penetrating sporadic return predictability ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Semi-parametric single-index predictive regression models with cointegrated regressors ⋮ A new robust inference for predictive quantile regression ⋮ Volatility regressions with fat tails ⋮ A unified test for predictability of asset returns regardless of properties of predicting variables ⋮ Predictive quantile regressions under persistence and conditional heteroskedasticity

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