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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 ...
Frequency-domain information for active portfolio management
(09.01.2020)
Bank of Finland Research Discussion Papers 2/2020
Bank of Finland Research Discussion Papers 2/2020
We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the ...