Long-term adjusted volatility: Powerful capability in forecasting stock market returns
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DOI: 10.1016/j.irfa.2023.102530
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More about this item
Keywords
Long-term adjusted volatility; Short-term volatility; Return predictability; Out-of-sample forecasting;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
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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