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...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | article |
| Language: | eng |
| Published: |
2021
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10400.14/31675 |
| Country: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/31675 |