Nonparametric prediction of stock returns with generated bond yields
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More about this item
Keywords
Prediction; Stock returns; Bond yield; Cross validation; Generated regressors;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2013-01-07 (Forecasting)
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