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Time-frequency forecast of the equity premium

2021Journal article Open access
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dc.contributor.authorFaria, Gonçalo
dc.contributor.authorVerona, Fabio
dc.date.accessioned2021-01-15T16:13:17Z
dc.date.available2023-06-01T00:30:32Z
dc.date.issued2021
dc.description.abstractAny 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 set of models and find that, by selecting the relevant frequencies for equity premium forecasting purposes, this method significantly improves in a statistical and economic way upon standard time series forecasting methods. This outperformance is robust regardless of the predictor used, the out-of-sample period considered, and the frequency of the data used.pt_PT
dc.description.versioninfo:eu-repo/semantics/acceptedVersionpt_PT
dc.identifier.citationFaria, G., & Verona, F. (2021). Time-frequency forecast of the equity premium. Quantitative Finance, 21(12), 2119-2135. https://doi.org/10.1080/14697688.2020.1820071pt_PT
dc.identifier.doi10.1080/14697688.2020.1820071pt_PT
dc.identifier.eid85093669981
dc.identifier.eissn1469-7696
dc.identifier.issn1469-7688
dc.identifier.urihttp://hdl.handle.net/10400.14/31675
dc.identifier.wos000583824700001
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherRoutledgept_PT
dc.relationResearch Center in Management and Economics
dc.subjectTime-frequency forecastpt_PT
dc.subjectEquity premiumpt_PT
dc.subjectMultiresolution analysispt_PT
dc.titleTime-frequency forecast of the equity premiumpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleResearch Center in Management and Economics
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F00731%2F2020/PT
oaire.citation.endPage2135
oaire.citation.issue12pt_PT
oaire.citation.startPage2119
oaire.citation.titleQuantitative Financept_PT
oaire.citation.volume21
oaire.fundingStream6817 - DCRRNI ID
person.familyNameFaria
person.familyNameVerona
person.givenNameGonçalo
person.givenNameFabio
person.identifier.ciencia-id791C-7F57-A73C
person.identifier.orcid0000-0002-4888-8833
person.identifier.orcid0000-0003-2722-8462
person.identifier.scopus-author-id55192551100
person.identifier.scopus-author-id55668022000
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication30cdcc4f-e130-4d71-b54b-b8de6b64b811
relation.isAuthorOfPublication0386442c-7281-4d88-ba2b-03b3927cf91f
relation.isAuthorOfPublication.latestForDiscovery30cdcc4f-e130-4d71-b54b-b8de6b64b811
relation.isProjectOfPublication78106509-5b77-4497-98a1-a0a8d60a0ef7
relation.isProjectOfPublication.latestForDiscovery78106509-5b77-4497-98a1-a0a8d60a0ef7

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