Does the choice of estimator matter when forecasting returns?

Journal of Banking and Finance

Volumn 36, Issue 9, 2012, Pages 2632-2640

  Westerlund, Joakim ^a   Narayan, Paresh Kumar ^a  

^a DEAKIN UNIVERSITY   (Australia)

Author keywords

Heteroskedasticity; Predictive regression; Predictor endogeneity; Stock return predictability

Indexed keywords

EID: 84864098074     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2012.06.005     Document Type: Article

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