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We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in … estimates of re-turn quantiles. Our results contribute to the literature on the risk-return relationship with an emphasis on …
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Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces...
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We propose to date and analyze the financial cycle using the Maximum Overlap Discrete Wavelet Transform (MODWT). Our presentation points out limitations of the methods derived from the classical business cycle literature, while stressing their connection with wavelet analysis. The fundamental...
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