The scale of predictability

DOI10.1016/j.jeconom.2018.09.008zbMath1452.62879OpenAlexW3123575648MaRDI QIDQ1739637

A. Tamoni, Claudio Tebaldi, Benoit Perron, Federico M. Bandi

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/85646/1/SSRN-id2184260.pdf

zbMATH Keywords

aggregationfrequencypredictabilityrisk-return trade-off

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

SPECTRAL FINANCIAL ECONOMETRICS, Business-cycle consumption risk and asset prices, Multivariate Wold decompositions: a Hilbert \(A\)-module approach, Editorial for the special issue on financial engineering and risk management for JoE, Long horizon predictability: an asset allocation perspective

Uses Software

• wmtsa

Cites Work

• Unnamed Item
• Long-run risk-return trade-offs
• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• The long and the short of the risk-return trade-off
• Testing predictive regression models with nonstationary regressors
• A theory for multiresolution signal decomposition: the wavelet representation
• Testing Models of Low-Frequency Variability
• Long-Term Risk: An Operator Approach
• The contribution of wavelets to the analysis of economic and financial data
• Forecasting multifractal volatility