Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects (Q2227069)
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scientific article; zbMATH DE number 7308431
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| English | Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects |
scientific article; zbMATH DE number 7308431 |
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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects (English)
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9 February 2021
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stock returns
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predictive regression
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multiple predictors
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unit roots
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conditional heteroskedasticity
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robust inference
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0.831282377243042
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0.7743459343910217
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0.771793782711029
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0.769201397895813
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0.7667774558067322
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