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Citations for "Why Long Horizons: A Study of Power Against Persistent Alternatives"

by John Y. Campbell

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  1. Min Wei & Jonathan Wright, 2009. "Confidence intervals for long-horizon predictive regressions via reverse regressions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2009-27, Board of Governors of the Federal Reserve System (U.S.).
  2. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics, University of Gothenburg, Department of Economics 161, University of Gothenburg, Department of Economics.
  3. John Y. Campbell, 2007. "Estimating the Equity Premium," NBER Working Papers 13423, National Bureau of Economic Research, Inc.
  4. John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1972, Harvard - Institute of Economic Research.
  5. Martin, Anna D. & Mauer, Laurence J., 2005. "A note on common methods used to estimate foreign exchange exposure," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 15(2), pages 125-140, April.
  6. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0298, National Bureau of Economic Research, Inc.
  7. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 560-580, March.
  8. Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0326, National Bureau of Economic Research, Inc.
  9. Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper, Federal Reserve Bank of Kansas City RWP 04-03, Federal Reserve Bank of Kansas City.
  10. Campbell, John Y & Viceira, Luis M, 2005. "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4914, C.E.P.R. Discussion Papers.
  11. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 2084, Harvard - Institute of Economic Research.
  12. repec:ecu:wpaper:2009-08 is not listed on IDEAS
  13. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 10(3), pages 554-579, November.
  14. Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, Elsevier, vol. 5(2), pages 104-117, June.
  15. Serletis, Apostolos & Gogas, Periklis, 2004. "Long-horizon regression tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(8), pages 1961-1985, August.
  16. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(3), pages 475-495, June.
  17. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
  18. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers, CIRANO 98s-20, CIRANO.
  19. Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, Elsevier, vol. 68(2), pages 201-232, May.
  20. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, School of Economics and Management, University of Aarhus.
  21. Hjalmarsson, Erik, 2012. "Some curious power properties of long-horizon tests," Finance Research Letters, Elsevier, Elsevier, vol. 9(2), pages 81-91.
  22. Éric Jacquier & Cédric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers, CIRANO 2013s-14, CIRANO.
  23. Perron, Pierre & Vodounou, Cosme, 2004. "Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(2), pages 203-230, March.
  24. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.
  25. Valkanov, Rossen, 1999. "Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt67b2h2gb, Anderson Graduate School of Management, UCLA.
  26. John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc.
  27. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 853, Board of Governors of the Federal Reserve System (U.S.).
  28. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
  29. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  30. Schröder, David & Esterer, Florian, 2012. "A new measure of equity duration: The duration-based explanation of the value premium revisited," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62077, Verein für Socialpolitik / German Economic Association.
  31. Mark, Nelson C. & Choi, Doo-Yull, 1997. "Real exchange-rate prediction over long horizons," Journal of International Economics, Elsevier, Elsevier, vol. 43(1-2), pages 29-60, August.
  32. Charles Engel & Nelson C. Mark & Kenneth D. West, 2007. "Exchange Rate Models Are Not as Bad as You Think," NBER Working Papers 13318, National Bureau of Economic Research, Inc.
  33. Cédric Okou & Éric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers, CIRANO 2014s-36, CIRANO.
  34. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0305, National Bureau of Economic Research, Inc.
  35. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
  36. Tim Bollerslev & James Marrone & Lai Xu & Hao Zhou, 2011. "Stock return predictability and variance risk premia: statistical inference and international evidence," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-52, Board of Governors of the Federal Reserve System (U.S.).