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Neural network forecasts of Canadian stock returns using accounting ratios

✍ Scribed by Dennis Olson; Charles Mossman


Book ID
114174770
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
91 KB
Volume
19
Category
Article
ISSN
0169-2070

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## Abstract This paper provides an analysis of regime switching in volatility and out‐of‐sample forecasting of the Cyprus Stock Exchange by using daily data for the period 1996–2002. We first model volatility regime switching within a univariate Markov switching framework. Modelling stock returns w