A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
DOI10.2202/1558-3708.1376zbMATH Open1260.91264OpenAlexW1999245127MaRDI QIDQ5452769FDOQ5452769
Authors: Alex Maynard, Wei Liu 
Publication date: 4 April 2008
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1376
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)
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- Expectations hypotheses tests at Long Horizons
- Nonparametric testing for long-horizon predictability with persistent covariates
- Secular mean reversion and long-run predictability of the stock market
- Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
- A nonparametric approach to test for predictability
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Assessing the power of long-horizon predictive tests in models of bull and bear markets
- Time-varying predictability of the long horizon equity premium based on semiparametric regressions
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