The "Out of Sample" Performance of Long-run Risk Models
收藏NBER2012-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/w17848
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This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the classical, stationary version. Both the long-run and the short
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美国国家经济研究局创建时间：
2012-02-01
