Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

DOI10.1016/j.jeconom.2020.04.037zbMath1464.62417OpenAlexW2762212150MaRDI QIDQ2227069

Richard Luger, Sermin Gungor

Publication date: 9 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.037

zbMATH Keywords

conditional heteroskedasticitystock returnsunit rootspredictive regressionrobust inferencemultiple predictors

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality

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