| Reference: | Canova, F and De Nicolo, G, 1995, Stock returns and real activity: a structural approach, European Economic Review 39, 981-1015.
Christoffersen, P., Ghysels, E., and Swanson, N. R., 2000, Let’s get real about using economic data, McGrill University Working Paper.
Christoffersen, P., and Slok, T., 2000, Do asset prices in transition countries contain information about future economic activity?, IMF Working Paper.
Fama, E. F., 1975, Short-term interest rates as predictors of inflation, American Economic Review 65, 269-282.
Fama, E. F., 1981, Stock returns, real activity, inflation, and money, American Economic Review 71, 645-565.
Fama, E. F., 1990, Stock returns, expected returns, and real activity, Journal of Finance 45, 1089-1108.
Fama, E. F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Hayes, S., 2001, Leading Indicator Information in UK Equity Prices: An Assessment of Economic Tracking Portfolios, Bank of England Working Paper No. 137.
Junttila, J., 2002, Forecasting the Macroeconomy with Current Financial Market Information in Europe and the United States, Bank of Finland Research Discussion Paper No. 2.
Junttila, J., and Kinnunen H., 2004, The performance of economic tracking portfolios in an IT-intensive stock market, Quarterly Review of Economics and Finance 44, 601-623.
Lamont, O. A., 2001, Economic tracking portfolios, Journal of Econometrics 105, 161-184. |
