Author:
Hu Xuemei,Pan Ying,Li Xiang
Publisher
Springer Science and Business Media LLC
Reference28 articles.
1. Goyal A and Welch I, A comprehensive look at the empirical performance of equity premium prediction, The Review of Financial Studies, 2006, 21(4): 1455–1508.
2. Campbell J Y and Thompson S B, Predicting excess stock returns out of sample: Can anything beat the historical average? The Review of Financial Studies, 2008, 21(4): 1509–1531.
3. Engle R F, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 1982, 50(4): 987–1008.
4. Bollerslev T, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 1986, 31(3): 307–327.
5. White H, A reality check for data snooping, Econometrica, 2000, 68(5): 1097–1126.