Qiang He

Central University of Finance and Economics (CUFE)

39 South College Road

Haidian District

Beijing, 100081

China

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Forecasting Stock Returns with Model Uncertainty and Parameter Instability

Journal of Applied Econometrics, Forthcoming
Number of pages: 35 Posted: 21 Sep 2017 Last Revised: 08 Dec 2019
Tilburg University - TIAS School for Business and Society, Central University of Finance and Economics (CUFE), Tilburg University - TIAS School for Business and Society and Central University of Finance and Economics (CUFE)
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Abstract:

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Market Efficiency, Asset Pricing, Equity Premia Predictability, Forecast Combination, Model Uncertainty, Parameter Instability, WALS