Forecasting the equity premium using weighted regressions: Does the jump variation help?
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00181-023-02521-8.pdf
Reference78 articles.
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3. Andersen TG, Bollerslev T, Diebold FX (2007) Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility. Rev Econ Stat 89:701–720
4. Andersen TG, Dobrev D, Schaumburg E (2012) Jump-robust volatility estimation using nearest neighbor truncation. J Econom 169:75–93
5. Ang A, Bekaert G (2007) Stock return predictability: Is it there? Rev Financ Stud 20:651–707
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