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A System of Time-Varying Models for Predictive Regressions: Theory and Application
thesisposted on 2021-05-09, 09:47 authored by DESHUI YU
This thesis proposes a system of time-varying coefficients models for predictive regressions in order to address some of the econometric issues associated with forecasting stock returns. Based on the proposed time-varying models, we find that the widely used financial predictors, such as dividend-price ratio and dividend yield, show significant power for predicting future stock returns, both in-sample and out-of-sample.