A mixed frequency approach for stock returns and valuation ratios

DOI10.1016/j.econlet.2019.108861zbMath1431.91378OpenAlexW2991385205MaRDI QIDQ2295354

Theodore Panagiotidis, Theologos Dergiades, Costas Milas

Publication date: 13 February 2020

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

Full work available at URL: http://aphrodite.uom.gr/econwp/pdf/dp082019.pdf

zbMATH Keywords

impulse response analysisMF-VARstock index returnsvaluation ratios

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Macroeconomics and the reality of mixed frequency data
• Stock return and cash flow predictability: the role of volatility risk
• Testing for Granger causality with mixed frequency data

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