Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions
收藏NBER2021-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w28569
下载链接
链接失效反馈官方服务：
资源简介：
This paper studies the properties of predictive regressions for asset returns in economic systems governed by persistent vector autoregressive dynamics. In particular, we allow for the state variables to be fractionally integrated, potentially of different orders, and for the returns to have a
提供机构：
美国国家经济研究局
创建时间：
2021-03-01
