Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089762 | Journal of Banking & Finance | 2012 | 9 Pages |
Abstract
⺠The relevance of the estimator in predicting stock returns is unknown. ⺠Estimator is relevant given that stock market data is mostly heteroskedastic. ⺠We find that accounting for heteroskedaticity and persistence improves forecasting. ⺠We find that a GLS estimator is better than an adjusted OLS estimator.
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Authors
Joakim Westerlund, Paresh Kumar Narayan,