Corrigendum to “Predictability of stock returns and asset allocation under structural breaks” [J. Econometrics 164 (2011) 60–78]
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DOI: 10.1016/j.jeconom.2020.02.008
Abstract: Abstract We revisit the estimation algorithm of Pettenuzzo and Timmermann (2011) and show how to apply the posterior simulation test of Geweke (2004) to locate and correct an error in the original posterior sampling algorithm.… read more here.
Keywords: stock returns; corrigendum predictability; asset allocation; predictability stock ... See more keywords