Haku
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Time-frequency forecast of the equity premium
(27.04.2020)
Bank of Finland Research Discussion Papers 6/2020
Bank of Finland Research Discussion Papers 6/2020
Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency ...
Asymmetric information and the distribution of trading volume
(22.01.2018)
Bank of Finland Research Discussion Papers 1/2018
Bank of Finland Research Discussion Papers 1/2018
We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple ...