Time-varying equity premium forecasts based on industry indexes
Various studies report that the ability of industry indexes to predict the broad market disappeared during the most recent years. I revisit this theme using more flexible switching models and imposing economically motivated constraints on the predictions. My results show that traditional constant c...
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| Format: | Article |
| Language: | English |
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Tuwhera Open Access Publisher
2020-12-01
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| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/298 |