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The scale of predictability

Citations

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Cited by:

  1. Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
  2. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
  3. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
  4. Shomesh E. Chaudhuri & Andrew W. Lo, 2019. "Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons," Management Science, INFORMS, vol. 65(9), pages 4440-4450, September.
  5. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2017. "Ultimate consumption risk and investment-based stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 473-486.
  6. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
  7. Maio, Paulo & Xu, Danielle, 2020. "Cash-flow or return predictability at long horizons? The case of earnings yield," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 172-192.
  8. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
  9. Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
  10. Simone Cerreia-Vioglio & Fulvio Ortu & Federico Severino & Claudio Tebaldi, 2023. "Multivariate Wold decompositions: a Hilbert A-module approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 45-96, June.
  11. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
  12. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  13. Coqueret, Guillaume & Deguest, Romain, 2024. "Unexpected opportunities in misspecified predictive regressions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 686-700.
  14. Ilaria Piatti & Fabio Trojani, 2020. "Dividend Growth Predictability and the Price–Dividend Ratio," Management Science, INFORMS, vol. 66(1), pages 130-158, January.
  15. Guillaume Coqueret & Romain Deguest, 2024. "Unexpected opportunities in misspecified predictive regressions," Post-Print hal-04595355, HAL.
  16. Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers 2/2020, Bank of Finland.
  17. Yang, Dazhi & Wang, Wenting & Gueymard, Christian A. & Hong, Tao & Kleissl, Jan & Huang, Jing & Perez, Marc J. & Perez, Richard & Bright, Jamie M. & Xia, Xiang’ao & van der Meer, Dennis & Peters, Ian , 2022. "A review of solar forecasting, its dependence on atmospheric sciences and implications for grid integration: Towards carbon neutrality," Renewable and Sustainable Energy Reviews, Elsevier, vol. 161(C).
  18. Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
  19. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  20. Fosten, Jack, 2019. "CO2 emissions and economic activity: A short-to-medium run perspective," Energy Economics, Elsevier, vol. 83(C), pages 415-429.
  21. Erik Hjalmarsson & Tamas Kiss, 2022. "Long‐run predictability tests are even worse than you thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1334-1355, November.
  22. Oglend, Atle, 2022. "The commodities/equities beta term-structure," Journal of Commodity Markets, Elsevier, vol. 28(C).
  23. Lioui, Abraham & Poncet, Patrice, 2019. "Long horizon predictability: An asset allocation perspective," European Journal of Operational Research, Elsevier, vol. 278(3), pages 961-975.
  24. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  25. repec:zbw:bofrdp:2020_006 is not listed on IDEAS
  26. Alexander M. Chinco & Mao Ye, 2017. "Investment-Horizon Spillovers," NBER Working Papers 23650, National Bureau of Economic Research, Inc.
  27. Kilponen, Juha & Verona, Fabio, 2022. "Investment dynamics and forecast: Mind the frequency," Finance Research Letters, Elsevier, vol. 49(C).
  28. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022. "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, vol. 114(C).
  29. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.
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