Browsing by Author "Stamatogiannis, Michalis P."
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Robust econometric inference for stock return predictability
Kostakis, Alexandros; Magdalinos, Tassos; Stamatogiannis, Michalis P. (2015)This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to regressors' degree of persistence, ...