The “Fed Model” and the Predictability of Stock Returns*

DOI10.1093/ROF/RFS025zbMath1405.62146OpenAlexW3125579246MaRDI QIDQ4554084

Paulo Maio

Publication date: 7 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfs025

zbMATH Keywords

predictability of stock returnsFed modelyield gap forecasts

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Theoretical decompositions of the cross-sectional dispersion of stock returns

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