Estimation of return stock rate by using wavelet and kernel smoothers
DOI:
https://doi.org/10.21533/pen.v8.i2.1087Abstract
This article aims to estimate the return stock rate of the private banking sector, with two banks, by adopting a partial linear model based on the arbitrage pricing model (APT) theory, using Wavelet and Kernel Smoothers. The results have proved that the wavelet method is the best. Also, the results of the market portfolio impact and inflation rate have proved an adversely effectiveness on the rate of return, and direct impact of the money supply.
Downloads
Published
Issue
Section
License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
