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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

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posted on 2022-11-09, 02:44 authored by Tingting Cheng, Jiti Gao, Oliver Linton

In this paper, we propose three new predictive models: the multi-step nonparametric

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Classification-JEL

C14, C22, G17

Creation date

2017-09-01

Working Paper Series Number

13/17

Length

39

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2017-13

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Keywords

Kernel estimator locally stationary process series estimator stock return prediction.

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