Real?Time Detection of Regimes of Predictability in the U.S. Equity Premium
(2020)
Journal Article
We propose new real-time monitoring procedures for the emergence of end-of-sample predictive regimes using sequential implementations of standard (heteroskedasticity-robust) regression t-statistics for predictability applied over relatively short tim... Read More about Real?Time Detection of Regimes of Predictability in the U.S. Equity Premium.