Improving equity premium forecasts by incorporating structural break uncertainty
Author:
Affiliation:
1. University of Tasmania; Hobart TAS Australia
2. UQ Business School; The University of Queensland; Brisbane QLD Australia
3. School of Management; Xi'an Jiaotong University; Xi'an China
Funder
National Natural Science Foundation of China
Publisher
Wiley
Subject
Economics, Econometrics and Finance (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/acfi.12240/fullpdf
Reference33 articles.
1. Estimating and testing linear models with multiple structural changes;Bai;Econometrica,1998
2. Computation and analysis of multiple structural change models;Bai;Journal of Applied Econometrics,2003
3. A new approach to measuring riskiness in the equity market: implications for the risk premium;Bali;Journal of Banking and Finance,2015
4. Re-examination of the historical equity risk premium in Australia;Brailsford;Accounting and Finance,2008
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows;Communications in Statistics - Simulation and Computation;2018-12-31
2. Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries;Journal of Risk and Financial Management;2018-10-21
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