Refine Search
Input a time range for publish date searching.
Article Types
Publication Year

Articles ( Showing 1-20 of 1 item)
Searched for: [ Keywords: "VAR" ] clear all
Journal Article
Are Industry Returns Informative about Other Industries and Fundamentals?
by Nikiforos T. Laopodis
Abstract
This paper examines the information content of selected US industries focusing on the dynamic linkages among these industries, the stock market and a number of fundamental variables. The period of investigation spans from January 1960 to December 2021. The empirical strategy includes several methodologies such as regressions, vector autoregressions and volatility models. The id [...] Read more