Title:

Testing for Episodic Predictability in Stock Returns

Authors:

Matei Demetrescu (U Kiel)
Iliyan Georgiev (U Bologna)
Paulo M. M. Rodrigues (Bank of Portugal, U Nova)
A M Robert Taylor (U Essex)

Journal:

Journal of Econometrics

Year:

2022

Volume:

227

Number:

1

Pages:

85-113

JEL code:

C58 - Financial Econometrics

DOI:

10.1016/j.jeconom.2020.01.001