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Forecasting stock market returns by summing the frequency-decomposed parts
(15.01.2018)
Journal of Empirical Finance January 2018
Journal of Empirical Finance January 2018
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 ...