Forecasting stock market returns by summing the frequency-decomposed parts
Gonçalo Faria, Fabio Verona
| Year of publication: |
2018
|
|---|---|
| Authors: | Faria, Gonçalo ; Verona, Fabio |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 45.2018, p. 228-242
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| Subject: | Asset allocation | Equity premium | Frequency domain | Predictability | Stock returns | Wavelets | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Kapitalmarktrendite | Capital market returns | Fourier-Analyse | Fourier analysis | Portfolio-Management | Portfolio selection | Theorie | Theory | Aktienmarkt | Stock market | Dekompositionsverfahren | Decomposition method | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2017.11.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012102423