Time-frequency forecast of the equity premium
Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper, we propose a method to forecast the equity premium which exploits the frequency relationship between the equity premium and several predictor variables. We evaluate a large se...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2021
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| Texto completo: | http://hdl.handle.net/10400.14/31675 |
| País: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/31675 |