A new test of asset return predictability with an unstable predictor

DOI10.1016/j.econlet.2020.109529zbMath1451.91234OpenAlexW3083100138MaRDI QIDQ2209589

Seong Yeon Chang

Publication date: 4 November 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109529

zbMATH Keywords

empirical likelihoodautoregressive processlevel shiftlocal-to-unityweighted estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (1)

Selecting slacks-based data envelopment analysis models

Uses Software

• emplik

Cites Work

• Asymptotic inference for nearly nonstationary AR(1) processes
• Predictive regressions for macroeconomic data
• TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS

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