The scale of predictability

DOI10.1016/J.JECONOM.2018.09.008MaRDI QIDQ1739637zbMATH OpenOpenAlexFDO

Authors Benoit Perron, A. Tamoni, C. Tebaldi, 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

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

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Cites work

• A theory for multiresolution signal decomposition: the wavelet representation
• Forecasting multifractal volatility
• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• Long-run risk-return trade-offs
• Long-Term Risk: An Operator Approach
• Spurious regressions in econometrics
• Testing Models of Low-Frequency Variability
• Testing predictive regression models with nonstationary regressors
• The contribution of wavelets to the analysis of economic and financial data
• The long and the short of the risk-return trade-off
• Understanding spurious regressions in econometrics

Cited in

(12)

• Editorial for the special issue on financial engineering and risk management for JoE
• A new tight and general bound on return predictability
• Long horizon predictability: an asset allocation perspective
• A Beaufort Scale of Predictability
• scientific article; zbMATH DE number 4074094 (Why is no real title available?)
• MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
• SPECTRAL FINANCIAL ECONOMETRICS
• Business-cycle consumption risk and asset prices
• Multivariate Wold decompositions: a Hilbert \(A\)-module approach
• A study on asset price bubble dynamics: explosive trend or quadratic variation?
• Time-varying parameter regressions with stationary persistent data
• Conditional spectral methods

Describes a project that uses

Uses Software

• wmtsa

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