Volatility bounds, size, and real activity prediction

DOI10.1093/ROF/RFT003zbMATH Open1417.91474OpenAlexW1985375309MaRDI QIDQ4554099FDOQ4554099

Authors: Belén Nieto, G. Rubio 

Publication date: 7 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10045/33743

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zbMATH Keywords

economic growth predictionfuture real activityHansen-Jagannathan volatilitysize-sorted portfolios

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Economic growth models (91B62)

Cited In (1)

• Do industries contain predictive information for the Fama-French factors?

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