Forecasting stock market returns by summing the frequency-decomposed parts
We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method significantly improves upon the original sum-of-the-parts and...
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| Format: | article |
| Language: | eng |
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2018
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| Online Access: | http://hdl.handle.net/10400.14/25135 |
| Country: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/25135 |