Title:Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis Author(s):BEKIROS, Stelios D.; GUPTA, Rangan; MAJUMDAR, AnandamayeeDate:2016Citation:
- Finance research letters, 2016, Vol. 18, pp. 291-296
Type:ArticleAbstract:Information on economic policy uncertainty does matter in predicting the US equity premium, especially when accounting for structural instabilities and omitted nonlinearities in their relationship, via a quantile predictive ...