Regime specific predictability in predictive regressions
Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a more persistent regressor such as valuation ratios, interest rates etc with the aim of assessing the presence or absence of predictability. Key complications that arise when conducting...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
2010.
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Subjects: | |
Online Access: | Get fulltext |