Detrending Persistent Predictors
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Other versions of this item:
- Christophe Boucher & Bertrand Maillet, 2011. "Detrending Persistent Predictors," Documents de travail du Centre d'Economie de la Sorbonne 11019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
More about this item
KeywordsForecasting; persistence; detrending; expected returns.; Prévision; persistance; extraction de tendance; rendements espérés.;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-30 (All new papers)
- NEP-ETS-2011-04-30 (Econometric Time Series)
- NEP-FOR-2011-04-30 (Forecasting)
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