Forecasting equity premium : global historical average versus local historical average and constraints
Year of publication: |
2015
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Authors: | Lee, Tae-hwy ; Tu, Yundong ; Ullah, Aman |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 3, p. 393-402
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Subject: | Bagging | Equity premium | Model averaging | Nonparametric local historical average model | Positivity constraint | Semiparametric single index model | Nichtparametrisches Verfahren | Nonparametric statistics | Risikoprämie | Risk premium | Theorie | Theory | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling |
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Lee, Tae-Hwy, (2014)
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