Models, Methods and Techniques in Stock Return Forecasting
Special Issue Editor
Interests: machine learning in insurance; structured nonparametric statistics; pension research
Special Issues, Collections and Topics in MDPI journals
Special Issue Information
Dear Colleagues,
The long-term forecasting of stock returns is a hot topic. It concerns the prediction of returns at least one year into the future. The long-horizon forecasting of returns and risks is important for the long-term planning of savings and pensions. While increasingly more long-term digital financial planning methods are being used, it is becoming increasingly important that the long-term forecasting of stock returns are well researched and of good quality. We encourage research utilizing both parametric and nonparametric models as well as both classical statistical techniques and machine learning techniques. As it is becoming increasingly easier to produce predictive models, the question of selecting the best model is now key. Therefore, any contribution should be clear on its validation of the model selected.
References
- Marchese, M., Martínez-Miranda, M.D., Nielsen, J.P. and Scholz, M. (2024). Robustifying and simplifying high-dimensional regression with applications to yearly stock return and telematics data. Financial Innovation,10(1)
- Kyriakou, I., Mousavi, P., Nielsen, J.P. and Scholz, M. (2020). Longer-Term Forecasting of Excess Stock Returns—The Five-Year Case. Mathematics, 8(6)
- Mammen, E., Nielsen, J.P., Scholz, M. and Sperlich, S. (2019). Conditional Variance Forecasts for Long-Term Stock Returns. Risks, 7(4), pp. 113–113
- Kyriakou, I., Mousavi, P., Nielsen, J.P. and Scholz, M. (2021). Forecasting benchmarks of long-term stock returns via machine learning. Annals of Operations Research, 297(1-2), pp. 221–240
- Nielsen, J.P. and Sperlich, S. (2003). Prediction of Stock Returns: A New Way to Look at It. ASTIN Bulletin, 33(2), pp. 399–417
Prof. Dr. Jens Perch Nielsen
Guest Editor
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Keywords
- Long-term forecasting
- Stock returns
- One-year view
- Five-year view
- Econometric models
- Stochastic future models
- Pensions
- Long-term savings
- Robot advisors
- Financial planning
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