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Forecasting stock market returns by summing the frequency-decomposed parts

Citations

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Cited by:

  1. Zhang, Li & Wang, Lu & Wang, Xunxiao & Zhang, Yaojie & Pan, Zhigang, 2022. "How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method," Resources Policy, Elsevier, vol. 77(C).
  2. Manuel M. F. Martins & Fabio Verona, 2021. "Inflation Dynamics and Forecast: Frequency Matters," CEF.UP Working Papers 2101, Universidade do Porto, Faculdade de Economia do Porto.
  3. Kilponen, Juha & Verona, Fabio, 2016. "Testing the Q theory of investment in the frequency domain," Bank of Finland Research Discussion Papers 32/2016, Bank of Finland.
  4. Gao, Shang & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2023. "Forecasting stock market volatility: The sum of the parts is more than the whole," Finance Research Letters, Elsevier, vol. 55(PA).
  5. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  6. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
  7. Anwen Yin, 2022. "Does the kitchen‐sink model work forecasting the equity premium?," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 223-247, March.
  8. Manuel Monge & Luis A. Gil-Alana, 2020. "The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies," Risks, MDPI, vol. 8(4), pages 1-17, December.
  9. Donghua Wang & Tianhui Fang, 2022. "Forecasting Crude Oil Prices with a WT-FNN Model," Energies, MDPI, vol. 15(6), pages 1-21, March.
  10. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  11. Bouri, Elie & Lucey, Brian & Roubaud, David, 2020. "The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages," Finance Research Letters, Elsevier, vol. 33(C).
  12. Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
  13. Souropanis, Ioannis & Vivian, Andrew, 2023. "Forecasting realized volatility with wavelet decomposition," Journal of Empirical Finance, Elsevier, vol. 74(C).
  14. Alexandridis, Antonios K. & Panopoulou, Ekaterini & Souropanis, Ioannis, 2024. "Forecasting exchange rate volatility: An amalgamation approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 97(C).
  15. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
  16. Martins, Manuel M.F. & Verona, Fabio, 2023. "Inflation dynamics in the frequency domain," Economics Letters, Elsevier, vol. 231(C).
  17. Zhifeng Dai & Huiting Zhou, 2020. "Prediction of Stock Returns: Sum-of-the-Parts Method and Economic Constraint Method," Sustainability, MDPI, vol. 12(2), pages 1-13, January.
  18. repec:zbw:bofrdp:2017_001 is not listed on IDEAS
  19. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  20. Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
  21. Louis R. Piccotti, 2022. "Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 513-549, September.
  22. repec:zbw:bofrdp:2018_007 is not listed on IDEAS
  23. Kilponen, Juha & Verona, Fabio, 2016. "Testing the Q theory of investment in the frequency domain," Research Discussion Papers 32/2016, Bank of Finland.
  24. Lei Xu & Takuji Kinkyo & Shigeyuki Hamori, 2018. "Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform," JRFM, MDPI, vol. 11(4), pages 1-11, December.
  25. repec:zbw:bofrdp:2016_032 is not listed on IDEAS
  26. Zhifeng Dai & Jie Kang & Hua Yin, 2023. "Forecasting equity risk premium: A new method based on wavelet de‐noising," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4331-4352, October.
  27. Yong Qu & Ying Yuan, 2025. "Predicting Equity Premium: A New Momentum Indicator Selection Strategy With Machine Learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 424-435, March.
  28. Thomas A. Lubik & Christian Matthes & Fabio Verona, 2019. "Assessing U.S. Aggregate Fluctuations Across Time and Frequencies," Working Paper 19-6, Federal Reserve Bank of Richmond.
  29. Kim C. Raath & Katherine B. Ensor, 2023. "Wavelet-L2E Stochastic Volatility Models: an Application to the Water-Energy Nexus," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 150-176, May.
  30. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2019. "Forecasting stock returns with cycle-decomposed predictors," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 250-261.
  31. Takuji Kinkyo, 2022. "Hedging capabilities of Bitcoin for Asian currencies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1769-1784, April.
  32. Dai, Zhifeng & Zhu, Huan, 2021. "Indicator selection and stock return predictability," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  33. Mahtab Athari & Atsuyuki Naka & Abdullah Noman, 2025. "Forecasting stock returns with sum-of-the-parts methodology: international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 26(1), pages 91-114, February.
  34. Kinkyo, Takuji, 2020. "Growing influences of the Chinese renminbi on Asian exchange rates: Evidence from a wavelet analysis of dynamic spillovers," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  35. Yin, Anwen, 2020. "Equity premium prediction and optimal portfolio decision with Bagging," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  36. Manuel M. F. Martins & Fabio Verona, 2024. "Forecasting Inflation with the New Keynesian Phillips Curve: Frequencies Matter," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 811-832, August.
  37. Dück, Alexander & Verona, Fabio, 2023. "Monetary policy rules: model uncertainty meets design limits," Bank of Finland Research Discussion Papers 12/2023, Bank of Finland.
  38. repec:zbw:bofrdp:2021_008 is not listed on IDEAS
  39. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  40. Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  41. Kinkyo, Takuji, 2022. "The intermediating role of the Chinese renminbi in Asian currency markets: Evidence from partial wavelet coherence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  42. repec:zbw:bofrdp:2020_006 is not listed on IDEAS
  43. Nippala, Veera & Sinivuori, Taina, 2023. "Forecasting private investment in Finland using Q-theory and frequency decomposition," BoF Economics Review 3/2023, Bank of Finland.
  44. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
  45. Syed Jawad Hussain Shahzad & Elie Bouri & Jose Arreola-Hernandez & David Roubaud & Stelios Bekiros, 2019. "Spillover across Eurozone credit market sectors and determinants," Applied Economics, Taylor & Francis Journals, vol. 51(59), pages 6333-6349, December.
  46. Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
  47. Dai, Zhifeng & Zhu, Huan & Kang, Jie, 2021. "New technical indicators and stock returns predictability," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 127-142.
  48. Manuel M. F. Martins & Fabio Verona, 2021. "Inflation Dynamics and Forecast: Frequency Matters," CEF.UP Working Papers 2101, Universidade do Porto, Faculdade de Economia do Porto.
  49. Faria, Gonçalo & Verona, Fabio, 2024. "Unlocking predictive potential: the frequency-domain approach to equity premium forecasting," Bank of Finland Research Discussion Papers 10/2024, Bank of Finland.
  50. Czudaj, Robert L., 2019. "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, vol. 80(C), pages 793-811.
  51. Faria, Gonçalo & Verona, Fabio, 2024. "Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators," Bank of Finland Research Discussion Papers 14/2024, Bank of Finland.
  52. Kinkyo, Takuji, 2020. "Volatility interdependence on foreign exchange markets: The contribution of cross-rates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  53. Risse, Marian, 2019. "Combining wavelet decomposition with machine learning to forecast gold returns," International Journal of Forecasting, Elsevier, vol. 35(2), pages 601-615.
  54. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.
  55. Lin, Boqiang & Su, Tong, 2021. "Do China's macro-financial factors determine the Shanghai crude oil futures market?," International Review of Financial Analysis, Elsevier, vol. 78(C).
  56. Stein, Tobias, 2024. "Forecasting the equity premium with frequency-decomposed technical indicators," International Journal of Forecasting, Elsevier, vol. 40(1), pages 6-28.
  57. Kilponen, Juha & Verona, Fabio, 2022. "Investment dynamics and forecast: Mind the frequency," Finance Research Letters, Elsevier, vol. 49(C).
  58. Gaoxiu Qiao & Wanmei Cui & Yijie Zhou & Chao Liang, 2025. "Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(1), pages 23-46, January.
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