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New insight on the CAPM: a copula-based approach Tunisian and international evidence

✍ Scribed by Mabrouk, Houda Ben; Bouri, Abdelfettah

Book ID
121012877
Publisher
Inderscience Publishers
Year
2013
Weight
142 KB
Volume
4
Category
Article
ISSN
1752-8224

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On the Predictive Content of Autoregress
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✍ Helmut Herwartz πŸ“‚ Article πŸ“… 2012 πŸ› John Wiley and Sons 🌐 English βš– 178 KB

## ABSTRACT This paper proposes an adjustment of linear autoregressive conditional mean forecasts that exploits the predictive content of uncorrelated model residuals. The adjustment is motivated by non‐Gaussian characteristics of model residuals, and implemented in a semiparametric fashion by mean