Does the choice of estimator matter when forecasting returns?
Westerlund, Joakim and Narayan, Paresh 2012, Does the choice of estimator matter when forecasting returns?, Deakin University, School of Accounting, Economics and Finance, Geelong, Vic..
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Does the choice of estimator matter when forecasting returns?
This working paper was later published in the journal 'Journal of Banking and Finance' and is available online: http://dx.doi.org/10.1016/j.jbankfin.2012.06.005
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