Browsing BI Open by Author "Lux, Yannik"
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Predictability of Stock Returns: An application of presentvalue state-space models to the German Stock Market
Lux, Yannik (Master thesis, 2019)In my thesis, I introduce a state-space representation of the present-value model to analyze predictability in the aggregated German stock market. The proposed model uses the information contained in annualized price-dividend ...