Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets

DOI10.1108/S0731-905320140000033019zbMath1452.91297OpenAlexW2489548324MaRDI QIDQ5133525

Dongmeng Ren, Alex Maynard

Publication date: 10 November 2020

Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-905320140000033019

zbMATH Keywords

nonlinearpredictive regressionregime-switchingstock return predictabilitylong-horizon regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Related Items (1)

Transformed regression-based long-horizon predictability tests

This page was built for publication: Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets