Forecasting equity risk premium : a new method based on wavelet de-noising
Zhifeng Dai, Jie Kang, Hua Yin
| Year of publication: |
2023
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|---|---|
| Authors: | Dai, Zhifeng ; Kang, Jie ; Yin, Hua |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 4, p. 4331-4352
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| Subject: | asset allocation | equity risk premium | out-of-sample forecast | wavelet de-noising | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Zustandsraummodell | State space model | CAPM | Theorie | Theory | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2653 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014429334