Excess Stock Return Forecasting with VAR and Bayesian VAR
碩士 === 國立中正大學 === 財務金融系研究所 === 105 === Campbell and Thompson (2008) found several restrictions are useful in improving the predictability of forecasting variables. In this paper, I imposes some of the restrictions proposed by Campbell and Thompson (2008) and found that the positive forecast value re...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/h4tup4 |