Nonparametric long term prediction of stock returns with generated bond yields

DOI10.1016/j.insmatheco.2016.04.007zbMath1373.62529OpenAlexW2346271595MaRDI QIDQ343974

Michael Scholz, Jens Perch Nielsen, Stefan Sperlich

Publication date: 21 November 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/15053/1/stock_with_bond-4.pdf

zbMATH Keywords

predictionstock returnsgenerated regressorscross validationbond yield

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Forecasting benchmarks of long-term stock returns via machine learning ⋮ Nonparametric prediction of stock returns based on yearly data: the long-term view

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