Economic uncertainty and time-varying return predictability
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DOI: 10.1016/j.frl.2024.106025
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More about this item
Keywords
Economic uncertainty; Equity premium; Weighted least squares; Cross-validation; Out-of-sample forecasting;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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