Forecasting the equity risk premium: a new method based on wavelet de-noising
讲座名称：
Forecasting the equity risk premium: a new method based on wavelet de-noising
讲座时间：
2020-08-06
讲座人：
戴志锋
形式：
校区：
兴庆校区
实践学分：
讲座内容：
讲座题目： Forecasting the equity risk premium: a new method based on wavelet de-noising
讲座时间：2020年8月6日10:00—11:30
讲座地点：腾讯会议号：902 313 982
讲座人： 戴志锋
讲座摘要：
Forecasting the equity risk premium is notoriously difficult due to no clear tendency of the raw series. In this paper, we firstly de-noise the in-sample original returns series via wavelet method, and construct regression models to forecast the out-of-sample equity risk premium. Our new models can obtain superior out-of-sample performance compared with the historical average and other counterpart models. A mean-variance investor can realize sizeable economic gains by allocating asset through the new approach. Moreover, our methods generate robust performance under different settings from both statistical and economic perspectives.
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