Nonparametric long term prediction of stock returns with generated bond yields

DOI10.1016/J.INSMATHECO.2016.04.007MaRDI QIDQ343974zbMATH OpenOpenAlexFDO

Authors 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

predictioncross validationstock returnsgenerated regressorsbond yield

Mathematics Subject Classification ID

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

Recommendations

• Nonparametric prediction of stock returns based on yearly data: the long-term view
• Forecasting benchmarks of long-term stock returns via machine learning
• Nonparametric testing for long-horizon predictability with persistent covariates
• The predictability of stock returns – a nonparametric approach
• Evaluating the `Fed Model' of stock price valuation: an out-of-sample forecasting perspective

Cites work

• scientific article; zbMATH DE number 3658755 (Why is no real title available?)
• A cross-validatory method for dependent data
• A note on non-parametric estimation with predicted variables
• Asymptotic theory of weakly dependent stochastic processes
• Bandwidth selection in marker dependent kernel hazard estimation
• Choice of regressors in nonparametric estimation
• Common risk factors in the returns on stocks and bonds
• Complete subset regressions
• DATA-DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS
• Do-Validation for Kernel Density Estimation
• Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Integration and backfitting methods in additive models -- finite sample properties and comparison
• Local Polynomial Estimation of Regression Functions for Mixing Processes
• Long-Term Memory in Stock Market Prices
• Mixing: Properties and examples
• Nonlinear time series. Nonparametric and parametric methods
• Nonparametric prediction of stock returns based on yearly data: the long-term view
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Performance measurement of pension strategies: a case study of Danish life-cycle products
• Prediction of Stock Returns: A New Way to Look at It
• Simple Transformation Techniques for Improved Non‐parametric Regression
• Stock and bond return predictability: the discrimination power of model selection criteria
• Using bimodal kernel for inference in nonparametric regression with correlated errors
• Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis

Cited in

(3)

• Forecasting benchmarks of long-term stock returns via machine learning
• Nonparametric prediction of stock returns based on yearly data: the long-term view
• USING NON-PARAMETRIC SEARCH ALGORITHMS TO FORECAST DAILY EXCESS STOCK RETURNS

This page was built for publication: Nonparametric long term prediction of stock returns with generated bond yields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q343974)