We study in detail the log-linear return approximation introduced by Campbell and Shiller (1988a). First, we derive an upper bound for the mean approximation error, given stationarity of the log ...
Lecture Notes-Monograph Series, Vol. 49, Optimality: The Second Erich L. Lehmann Symposium (2006), pp. 291-311 (21 pages) We analyze the (unconditional) distribution of a linear predictor that is ...
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