tri.wave-class: The triangular wave model class

In jubilee: Forecasting Long-Term Growth of the U.S. Stock Market and Business Cycles

Description

This S4 class defines the parameters in the triangular wave model.

Slots

call

the match.call slot.

a.t

numeric, the look-back channel in years

a0

numeric, the look-back channel in years

s1

numeric, the forward return duration in years

s2

numeric, the start fraction of in-sample training period

y.mean

numeric, the end fraction of in-sample training period

y.amp

numeric, the end fraction of in-sample training period

y.t

numeric, the end fraction of in-sample training period

y.p

numeric, the end fraction of in-sample training period

References

See Section 4 of Stephen H.T. Lihn, "Jubilee Tectonic Model: Forecasting Long-Term Growth and Mean Reversion in the U.S. Stock Market." Available at http://dx.doi.org/10.2139/ssrn.3156574

jubilee documentation built on Jan. 24, 2020, 5:10 p.m.