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A Peer-reviewed scientific articles/A1 Journal article (refereed), original research
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Time-frequency forecast of the equity premium, Quantitative Finance (2020). Faria, Gonçalo; Verona, Fabio

Category A Peer-reviewed scientific articles
Sub-category A1 Journal article (refereed), original research
auki Internal authors
All authors as text Faria, Gonçalo; Verona, Fabio 
Number of authors
Status Online First
Year of publication 2020 
Date 23.10.2020 
Name of article Time-frequency forecast of the equity premium 
Name of journal Quantitative Finance
Abstract Any 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.
Free text descriptor in Finnish ennusteet; aikasarjat; menetelmät; arvopaperimarkkinat; osakkeet 
Free text descriptor in English Time-frequency forecast, Equity premium, Multiresolution analysis 
JEL-codes C58, G11, G17 
ISSN / e-ISSN 1469-7688 
auki Internet addresses
Additional information Published online: 23 Oct 2020
Notes BoF DP 6/2020 
Open Access Not open

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