Testing for predictability in conditionally heteroskedastic stock returns

Westerlund, Joakim and Narayan, Paresh 2015, Testing for predictability in conditionally heteroskedastic stock returns, Journal of financial econometrics, vol. 13, no. 2, pp. 342-375, doi: 10.1093/jjfinec/nbu001.

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Title Testing for predictability in conditionally heteroskedastic stock returns
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Narayan, PareshORCID iD for Narayan, Paresh orcid.org/0000-0001-7934-8146
Journal name Journal of financial econometrics
Volume number 13
Issue number 2
Start page 342
End page 375
Total pages 34
Publisher Oxford University Press
Place of publication Oxford, Eng.
Publication date 2015-03-01
ISSN 1479-8409
1479-8417
Keyword(s) Social Sciences
Business, Finance
Economics
Business & Economics
predictability
FQGLS
conditional heteroskedasticity
subsampling
stock returns
EQUITY PREMIUM PREDICTION
UNIT-ROOT TESTS
BOOK-TO-MARKET
NONSTATIONARY VOLATILITY
MODELS
REGRESSIONS
INFERENCE
VARIABLES
RATIOS
SAMPLE
Language eng
DOI 10.1093/jjfinec/nbu001
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910109 Savings and Investments
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Oxford University Press
Persistent URL http://hdl.handle.net/10536/DRO/DU:30073932

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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