Yuhe Mei

Nanjing University

Nanjing

China

  • Nanjing University

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Out-of-Sample Equity Premium Predictability: An Emd-Denoising Based Model

Number of pages: 53 Posted: 14 Aug 2024
Haohua Li, Yuhe Mei and Xianfeng Hao
Nanjing University, Nanjing University and Nanjing University - School of Management and Engineering
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Abstract:

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Out-of-sample forecasting, EMD decomposition, Denoising method, Return predictability