tri.wave class {jubilee}

The triangular wave model class

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