Faria, GonçaloVerona, Fabio2021-01-152023-06-012021Faria, G., & Verona, F. (2021). Time-frequency forecast of the equity premium. Quantitative Finance, 21(12), 2119-2135. https://doi.org/10.1080/14697688.2020.18200711469-7688http://hdl.handle.net/10400.14/31675Any 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.engTime-frequency forecastEquity premiumMultiresolution analysisjournal article10.1080/14697688.2020.18200711469-769685093669981000583824700001