A Predictive Functional Regression Model for Asset Return
نویسندگان
چکیده
منابع مشابه
A Predictive Functional Regression Model for Asset Return
Since many of predictive financial variables are highly persistent and non-stationary, it is challenging econometrically to explore the predictability of asset returns. Predictability issues are generally addressed in parametric regressions [1,2] in which rates of asset returns are regressed against the lagged values of stochastic explanatory variables, but three limitations stand ahead [3-5]. ...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2013
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2013.32030