Nonparametric long term prediction of stock returns with generated bond yields
From MaRDI portal
Publication:343974
DOI10.1016/j.insmatheco.2016.04.007zbMath1373.62529OpenAlexW2346271595MaRDI QIDQ343974
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
Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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