Nonparametric long term prediction of stock returns with generated bond yields

DOI10.1016/J.INSMATHECO.2016.04.007zbMATH Open1373.62529OpenAlexW2346271595MaRDI QIDQ343974FDOQ343974

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

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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)

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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

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