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Asset Accumulation with Estimated Low Frequency Movements of Asset Returns

In: Sustainable Asset Accumulation and Dynamic Portfolio Decisions

Author

Listed:
  • Carl Chiarella

    (University of Technology)

  • Willi Semmler

    (New School for Social Research
    Bielefeld University)

  • Chih-Ying Hsiao

    (University of Technology)

  • Lebogang Mateane

    (New School for Social Research)

Abstract

As discussed in Chap. 2 academic research on asset returns seems to converge toward the view that a proper formation of expected asset returns are essential for saving and asset allocation decisions. As also shown in Chap. 4 the use of time varying asset returns, following low frequency movements, appears to be quite suitable for the purpose of such decisions. In this chapter harmonic estimations are used to estimate low frequency movements of time series data on asset returns. We employ U.S. data sets and undertake a harmonic fitting of the actual time series data.

Suggested Citation

  • Carl Chiarella & Willi Semmler & Chih-Ying Hsiao & Lebogang Mateane, 2016. "Asset Accumulation with Estimated Low Frequency Movements of Asset Returns," Dynamic Modeling and Econometrics in Economics and Finance, in: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, chapter 0, pages 81-96, Springer.
  • Handle: RePEc:spr:dymchp:978-3-662-49229-1_5
    DOI: 10.1007/978-3-662-49229-1_5
    as

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