Which daily equity returns improve output forecasts?
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DOI: 10.1016/j.econlet.2024.111897
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Cited by:
- Mohammad R. Jahan-Parvar & Charles Knipp & Pawel J. Szerszen, 2024. "Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components," Finance and Economics Discussion Series 2024-100, Board of Governors of the Federal Reserve System (U.S.).
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More about this item
Keywords
Mixed-frequency data sampling regressions; Forecasting; High-frequency financial data; Capital- and labor-intensive industry equity returns;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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