Predictive regression with order-p autoregressive predictors

C-Tier

Journal: Journal of Empirical Finance

Year: 2010

Volume: 17

Issue: 3

Pages: 513-525

Authors (3)

Amihud, Yakov (not in RePEc) Hurvich, Clifford M. (New York University (NYU)) Wang, Yi (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count