Linear predictive regression framework: Predictive power of dividend yields and structural break detection - Softcover
Synopsis
Master's Thesis from the year 2011 in the subject Economics - Macro-economics, general, grade: 81 %, University of Southampton, course: Econometrics, language: English, abstract: The concept of predictive regressions has been studied for over the past 20 years and its application is particularly present in applied economics, finance and econometrics. The basic set-up in the predictive regression framework associates the noisy explained variable with the lagged persistent regressor, which can be characterized as a process close to the unit root process. In my work I describe the relevance and implications of an adoption of the linear predictive regressions in forecasting the volatile stock return using the lagged variable, dividend-price ratio, which is highly persistent. Subsequently, I aim to answer questions whether the excess stock returns are predictable using dividend yields and whether the predictability is stable over time. The analysis I conduct, based on financial data, aim to detect the hypothetical presence of structural breaks in the model. In order to search for the structural instability of coefficients I construct a Wald test for each possible structural break location and investigate the accuracy of the SupWald statistic and its tabulated critical values in the framework described. Having obtained the test statistic for each of the possible break-points, I describe predictive power of explanatory variable and provide economic rationale to support some of the statistical outcomes.
"synopsis" may belong to another edition of this title.
Search results for Linear predictive regression framework: Predictive...
Seller Image
Linear Predictive Regression Framework
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 18529111-n
Stock Image
Linear predictive regression framework
Seller: PBShop.store US, Wood Dale, IL, U.S.A.
Seller rating 5 out of 5 stars
PAP. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # DB-9783656063254
Seller Image
Linear Predictive Regression Framework
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Seller rating 5 out of 5 stars
Condition: As New. Unread book in perfect condition. Seller Inventory # 18529111
Stock Image
Linear predictive regression framework
Seller: PBShop.store UK, Fairford, GLOS, United Kingdom
Seller rating 5 out of 5 stars
PAP. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # DB-9783656063254
Buy New
£ 16.50
£ 3.29 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 1 available
Stock Image
Linear predictive regression framework: Predictive power of dividend yields and structural break detection
Print on DemandSeller: Revaluation Books, Exeter, United Kingdom
Seller rating 5 out of 5 stars
Paperback. Condition: Brand New. 36 pages. 5.83x0.09x8.27 inches. In Stock. This item is printed on demand. Seller Inventory # __3656063257
Buy New
£ 15.47
£ 10 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 1 available
Seller Image
Linear Predictive Regression Framework
Seller: GreatBookPricesUK, Woodford Green, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 18529111-n
Buy New
£ 16.49
£ 15 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 1 available
Seller Image
Linear Predictive Regression Framework
Seller: GreatBookPricesUK, Woodford Green, United Kingdom
Seller rating 5 out of 5 stars
Condition: As New. Unread book in perfect condition. Seller Inventory # 18529111
Buy Used
£ 18.24
£ 15 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 1 available
Seller Image
Linear predictive regression framework
Published by
GRIN Verlag, GRIN Verlag Nov 2011, 2011
ISBN 10: 3656063257
ISBN 13: 9783656063254
New
Taschenbuch
Seller: Rheinberg-Buch Andreas Meier eK, Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Master's Thesis from the year 2011 in the subject Economics - Macro-economics, general, printed single-sided, grade: 81 %, University of Southampton, course: Econometrics, language: English, abstract: The concept of predictive regressions has been studied for over the past 20 years and its application is particularly present in applied economics, finance and econometrics. The basic set-up in the predictive regression framework associates the noisy explained variable with the lagged persistent regressor, which can be characterized as a process close to the unit root process. In my work I describe the relevance and implications of an adoption of the linear predictive regressions in forecasting the volatile stock return using the lagged variable, dividend-price ratio, which is highly persistent. Subsequently, I aim to answer questions whether the excess stock returns are predictable using dividend yields and whether the predictability is stable over time. The analysis I conduct, based on financial data, aim to detect the hypothetical presence of structural breaks in the model. In order to search for the structural instability of coefficients I construct a Wald test for each possible structural break location and investigate the accuracy of the SupWald statistic and its tabulated critical values in the framework described. Having obtained the test statistic for each of the possible break-points, I describe predictive power of explanatory variable and provide economic rationale to support some of the statistical outcomes. 36 pp. Englisch. Seller Inventory # 9783656063254
Seller Image
Linear predictive regression framework
Published by
GRIN Verlag, GRIN Verlag Nov 2011, 2011
ISBN 10: 3656063257
ISBN 13: 9783656063254
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Master's Thesis from the year 2011 in the subject Economics - Macro-economics, general, printed single-sided, grade: 81 %, University of Southampton, course: Econometrics, language: English, abstract: The concept of predictive regressions has been studied for over the past 20 years and its application is particularly present in applied economics, finance and econometrics. The basic set-up in the predictive regression framework associates the noisy explained variable with the lagged persistent regressor, which can be characterized as a process close to the unit root process. In my work I describe the relevance and implications of an adoption of the linear predictive regressions in forecasting the volatile stock return using the lagged variable, dividend-price ratio, which is highly persistent. Subsequently, I aim to answer questions whether the excess stock returns are predictable using dividend yields and whether the predictability is stable over time. The analysis I conduct, based on financial data, aim to detect the hypothetical presence of structural breaks in the model. In order to search for the structural instability of coefficients I construct a Wald test for each possible structural break location and investigate the accuracy of the SupWald statistic and its tabulated critical values in the framework described. Having obtained the test statistic for each of the possible break-points, I describe predictive power of explanatory variable and provide economic rationale to support some of the statistical outcomes. 36 pp. Englisch. Seller Inventory # 9783656063254
Seller Image
Linear predictive regression framework
Published by
GRIN Verlag, GRIN Verlag Nov 2011, 2011
ISBN 10: 3656063257
ISBN 13: 9783656063254
New
Taschenbuch
Seller: Wegmann1855, Zwiesel, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Neuware -Master's Thesis from the year 2011 in the subject Economics - Macro-economics, general, printed single-sided, grade: 81 %, University of Southampton, course: Econometrics, language: English, abstract: The concept of predictive regressions has been studied for over the past 20 years and its application is particularly present in applied economics, finance and econometrics. The basic set-up in the predictive regression framework associates the noisy explained variable with the lagged persistent regressor, which can be characterized as a process close to the unit root process. In my work I describe the relevance and implications of an adoption of the linear predictive regressions in forecasting the volatile stock return using the lagged variable, dividend-price ratio, which is highly persistent. Subsequently, I aim to answer questions whether the excess stock returns are predictable using dividend yields and whether the predictability is stable over time. The analysis I conduct, based on financial data, aim to detect the hypothetical presence of structural breaks in the model. In order to search for the structural instability of coefficients I construct a Wald test for each possible structural break location and investigate the accuracy of the SupWald statistic and its tabulated critical values in the framework described. Having obtained the test statistic for each of the possible break-points, I describe predictive power of explanatory variable and provide economic rationale to support some of the statistical outcomes. Seller Inventory # 9783656063254