Short-horizon return predictability and oil prices
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Publication:5745653
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Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymptotics for out of sample tests of Granger causality
- Automatic Lag Selection in Covariance Matrix Estimation
- Common risk factors in the returns on stocks and bonds
- Energy shocks and financial markets: nonlinear linkages
- Evaluating Direct Multistep Forecasts
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Recent developments in bootstrapping time series
- Tests of equal forecast accuracy and encompassing for nested models
- What is an oil shock?
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