Title:

Building Proxies That Capture Time-Variation in Expected Returns Using a VAR Approach

Author:

Ricardo Sousa (U Minho)

Journal:

Applied Financial Economics

Year:

2011

Volume:

21

Number:

1-3

Pages:

147-163

JEL codes:

D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving
E17 - Forecasting and Simulation
E21 - Macroeconomics: Consumption; Saving; Aggregate Physical and Financial Consumer Wealth
G12 - Asset Pricing; Trading volume; Bond Interest Rates