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Aggregation bias in tests of the commodity currency hypothesis · Study

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ArticleAggregation bias in tests of the commodity currency hypothesis

Lasse Bork2021

OA

Articlegreen2021

Aggregation bias in tests of the commodity currency hypothesis

Lasse Bork · Pablo Rovira Kaltwasser · Piet M. F. A. Sercu

10 citations·0/0 files stored·Journal of Banking & Finance

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2002Dynamic Conditional Correlation 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2002Forecasting Using Principal Components From a Large Number of Predictors 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2002Macroeconomic Forecasting Using Diffusion Indexes 2006Approximately normal tests for equal predictive accuracy in nested models 2001Tests of equal forecast accuracy and encompassing for nested models 2001The Economic Value of Volatility Timing

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Details

Year2021

Typearticle

Published2021-12-23

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations10

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jbankfin.2021.106392

openalex_workW4200343898

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