Financial variables as predictors of real output growth
We investigate two methods for using daily stock returns to forecast, and update forecasts of, quarterly real output growth. Both methods aggregate daily returns in some manner to form a single stock market variable. We consider (i) augmenting the quarterly AR(1) model for real output growth with da...
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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Online Access: | https://ink.library.smu.edu.sg/soe_research/1058 https://ink.library.smu.edu.sg/context/soe_research/article/2057/viewcontent/Tay_2007_.pdf |
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Institution: | Singapore Management University |
Language: | English |