Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?

Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?

This paper analyzes the forecast performance of historical S&P500 and Dow Jones Industrial Average (DJIA) excess returns while using nonparametric functional data analysis (NP-FDA). The empirical results show that the NP-FDA forecasting strategy outperforms not only the the prevailing-mean model...

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Bibliographic Details
Main Authors: João F. Caldeira, Rangan Gupta, Hudson S. Torrent
Format: Article
Language:English
Published: MDPI AG 2020-11-01
Series:Mathematics
Subjects:
return forecast
nonparametric functional data analysis
performance evaluation
predictive regression
classical financial mathematics.
Online Access:https://www.mdpi.com/2227-7390/8/11/2042

Internet

https://www.mdpi.com/2227-7390/8/11/2042

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