Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach

DOI10.1080/14697688.2018.1459809zbMath1406.91494OpenAlexW2799303292MaRDI QIDQ4619547

Tian Xie, Yu Ren

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1459809

zbMATH Keywords

fractional cointegration\(cay\)asset return forecastingfrequency domain least squares

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach ⋮ Consumption, aggregate wealth and expected stock returns: an FCVAR approach

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