Testing for predictability in conditionally heteroskedastic stock returns

Joakim Westerlund and Paresh Narayan ()

Working Papers from Deakin University, Department of Economics

Keywords: Predictability; FQGLS; Conditional heteroskedasticity; Subsampling; Stock returns; General Financial Markets (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2014-01-01
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Related works:
Journal Article: Testing for Predictability in Conditionally Heteroskedastic Stock Returns (2015)
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