## ABSTRACT We studied the predictability of intraday stock market returns using both linear and nonlinear time series models. For the S&P 500 index we compared simple autoregressive and random walk linear models with a range of nonlinear models, including smooth transition, Markov switching, artif
β¦ LIBER β¦
Forecasting Stock Returns Using Model-Selection Criteria
β Scribed by JAMIE ALCOCK; PHILIP GRAY
- Book ID
- 111208362
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 194 KB
- Volume
- 81
- Category
- Article
- ISSN
- 0013-0249
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