Semi-parametric single-index predictive regression models with cointegrated regressors

DOI10.1016/j.jeconom.2023.105577OpenAlexW3138414294MaRDI QIDQ6193026

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Publication date: 13 February 2024

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.105577

zbMATH Keywords

single-index modelsstock return predictabilitycointegrated predictorshermite orthogonal series

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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