A refined asymptotic framework for dividend yield in predictive regressions

DOI10.1016/J.ECONLET.2015.11.022zbMath1398.62291OpenAlexW2181538155MaRDI QIDQ1667999

Kaihua Deng

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.11.022

zbMATH Keywords

signal-to-noise ratiolocal-to-unitylocal-to-zerolong-horizon \(R^2\)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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