10-115/4 - Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility

• Authors
  Cem Cakmakli, Erasmus University Rotterdam; Dick van Dijk, Erasmus Universiteit Rotterdam
• Publication date
  November 22, 2010

• Keywords
  return predictability, model uncertainty, dynamic factor models, variable selection
• JEL
  C22, C53, G11, G12