Title:

Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts

Authors:

Gonçalo Faria (U Católica Portuguesa) U Vigo, (U Católica Portuguesa)
Fabio Verona (Bank of Finland, CEF, U Porto)

Journal:

Journal Of Empirical Finance

Year:

2018

Volume:

45

Pages:

228-242

JEL codes:

C58 - Financial Econometrics
G12 - Asset Pricing; Trading volume; Bond Interest Rates

DOI:

10.1016/j.jempfin.2017.11.009