The predictive content of sectoral stock prices: a US-euro area comparison
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Cited by:
- Dison, Will & Theodoridis, Konstantinos, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
- Granziera, Eleonora & Hubrich, Kirstin & Moon, Hyungsik Roger, 2014.
"A predictability test for a small number of nested models,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 174-185.
- Hubrich, Kirstin & Granziera, Eleonora & Moon, Hyungsik Roger, 2013. "A predictability test for a small number of nested models," Working Paper Series 1580, European Central Bank.
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More about this item
Keywords
consumption and investment; euro area; forecasting real GDP; sectoral stock prices; stock market valuation metrics; US;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-06-04 (Central Banking)
- NEP-EEC-2011-06-04 (European Economics)
- NEP-FOR-2011-06-04 (Forecasting)
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