Pitfalls in VAR based return decompositions: A clarification

Journal of Banking and Finance

Volumn 36, Issue 5, 2012, Pages 1255-1265

  Engsted, Tom ^a   Pedersen, Thomas Q ^a   Tanggaard, Carsten ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

Information set; News components; Predictive variables; Redundant models; Return variance decomposition; VAR model

Indexed keywords

EID: 84858297714     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.11.004     Document Type: Article

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