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Document type:
Masterarbeit
Author(s):
Hau, Jenny
Title:
Robust Inference in Predictive Regressions of Stock Returns
Translated title:
Robuste Inferenz in Prädiktiven Regressionen von Aktiengewinnen
Abstract:
We focus on a discussion of Goyal and Welch (2006) and Campbell and Thompson (2008) about the predictability of stock returns. While the former suggest that no regression model exists that can forecast the equity premium more accurately than its historical average, the latter claim that there are, in fact, such regressions if one restricts the model appropriately. The goal of this thesis is to add our input to this discussion by applying the heterogeneity and autocorrelation robust test app...     »
Supervisor:
PD Dr. Aleksey Min
Advisor:
PD Dr. Min, Prof. Ibragimov (Imperial College)
Year:
2022
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Lehrstuhl für Finanzmathematik
Commencing Date:
15.01.2022
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