Long-horizon regressions: theoretical results and applications
暂无分享,去创建一个
[1] W. Torous,et al. On Predicting Stock Returns with Nearly Integrated Explanatory Variables , 2004 .
[2] Markku Lanne,et al. Testing the Predictability of Stock Returns , 2002, Review of Economics and Statistics.
[3] Sergei Sarkissian,et al. Spurious Regressions in Financial Economics? , 2002 .
[4] Rossen I. Valkanov,et al. Boundaries of Predictability: Noisy Predictive Regressions , 2000 .
[5] N. Barberis. Investing for the Long Run When Returns are Predictable , 2000 .
[6] S. Ramlee,et al. Is the Fisher Effect for Real?: Testing the Robustness of the Long Run Fisher Effect in the G7 Countries , 2022 .
[7] Rossen Valkanov. The Term Structure with Highly Persistent Interest Rates , 1999 .
[8] J. Cochrane,et al. New Facts in Finance , 1999 .
[9] A. Lo,et al. THE ECONOMETRICS OF FINANCIAL MARKETS , 1996, Macroeconomic Dynamics.
[10] Eduardo S. Schwartz,et al. Strategic asset allocation , 1997 .
[11] Luis M. Viceira,et al. Consumption and Portfolio Decisions When Expected Returns are Time Varying , 1996 .
[12] Graham Elliott,et al. Inference in Models with Nearly Integrated Regressors , 1995, Econometric Theory.
[13] Serena Ng,et al. Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag , 1995 .
[14] John Y. Campbell,et al. Why Long Horizons: A Study of Power Against Persistent Alternatives , 1993 .
[15] William N. Goetzmann,et al. Testing the Predictive Power of Dividend Yields , 1993 .
[16] C. Nelson,et al. Predictable Stock Returns: The Role of Small Sample Bias , 1993 .
[17] Matthew Richardson,et al. Stock Returns and Inflation: A Long-Horizon Perspective , 1993 .
[18] John J. Seater,et al. LONG-RUN NEUTRALITY AND SUPERNEUTRALITY IN AN ARIMA FRAMEWORK , 1993 .
[19] Bruce E. Hansen,et al. Convergence to Stochastic Integrals for Dependent Heterogeneous Processes , 1992, Econometric Theory.
[20] J. Siegel. The real rate of interest from 1800-1990:A study of the U , 1992 .
[21] R. Hodrick. Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement , 1991 .
[22] J. Stock,et al. Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series , 1991 .
[23] Peter C. B. Phillips,et al. Optimal Inference in Cointegrated Systems , 1991 .
[24] Frederic S. Mishkin. Is the Fisher Effect for Real? A Reexamination of the Relationship between Inflation and Interest Rates , 1991 .
[25] G. Schwert. Indexes of U.S. Stock Prices from 1802 to 1987 , 1990 .
[26] J. Stock,et al. Drawing Inferences from Statistics Based on Multi-Year Asset Returns , 1989 .
[27] G. Schwert,et al. Tests for Unit Roots: a Monte Carlo Investigation , 1988 .
[28] E. Fama,et al. Dividend yields and expected stock returns , 1988 .
[29] Frederic S. Mishkin,et al. What Does the Term Structure Tell Us About Future Inflation? , 1988 .
[30] Peter C. B. Phillips,et al. Towards a Unified Asymptotic Theory for Autoregression , 1987 .
[31] G. William Schwert,et al. Effects of model specification on tests for unit roots in macroeconomic data , 1987 .
[32] J. Stock,et al. Interpreting Evidence on Money-Income Causality , 1987 .
[33] Robert J. Shiller,et al. Cointegration and Tests of Present Value Models , 1987, Journal of Political Economy.
[34] R. Shiller,et al. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors , 1986 .
[35] P. Phillips. Understanding spurious regressions in econometrics , 1986 .
[36] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[37] J. Stock. Unit roots, structural breaks and trends , 1986 .
[38] M. Watson. Vector autoregressions and cointegration , 1986 .
[39] L. Hansen,et al. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis , 1980, Journal of Political Economy.
[40] C. Granger,et al. Spurious regressions in econometrics , 1974 .