A unified test for predictability of asset returns regardless of properties of predicting variables

DOI10.1016/j.jeconom.2018.09.009zbMath1452.62779OpenAlexW2897631927MaRDI QIDQ1739638

Bingduo Yang, Liang Peng, Zong-Wu Cai, Xiao Hui Liu

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.009

zbMATH Keywords

empirical likelihoodpredictive regressionweighted score

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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