Testing for episodic predictability in stock returns

DOI10.1016/j.jeconom.2020.01.001OpenAlexW2918890480MaRDI QIDQ2116325

Paulo M. M. Rodrigues, A. M. Robert Taylor, Iliyan Georgiev, Matei Demetrescu

Publication date: 16 March 2022

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.01.001

zbMATH Keywords

endogeneitypersistencepredictive regressionconditional and unconditional heteroskedasticityrolling and recursive IV estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items

Extensions to IVX methods of inference for return predictability ⋮ Transformed regression-based long-horizon predictability tests ⋮ Robust inference with stochastic local unit root regressors in predictive regressions ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes

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