Evaluating the `Fed Model' of stock price valuation: an out-of-sample forecasting perspective

DOI10.1016/S0731-9053(05)20026-9zbMATH Open1190.91158OpenAlexW2489318132MaRDI QIDQ3571982FDOQ3571982

Authors: Dennis W. Jansen, Zijun Wang 

Publication date: 30 June 2010

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

Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20026-9

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (6)

• On the test of the correction mechanism for mis-pricing between assets using a statistical yield spread model
• Forecasting cointegrated nonstationary time series with time-varying variance
• Nonparametric long term prediction of stock returns with generated bond yields
• The “Fed Model” and the Predictability of Stock Returns*
• Comparative Study of Models for Forecasting Nigerian Stock Exchange Market Capitalization
• Forecasting vector autoregressions with mixed roots in the vicinity of unity

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