Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information
This paper employs Bayesian dynamic linear forecasting techniques to investigate the factors driving the predictability of Australian stock market. The unanticipated components of a set of economic and financial variables are chosen as the proxies for the economic risk factors that influence the ind...
Main Authors: | , , |
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Format: | Journal Article |
Published: |
Elsevier BV
2005
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Online Access: | http://hdl.handle.net/20.500.11937/12661 |