Non-linear dynamics in international stock market returns
β Scribed by David G. McMillan
- Book ID
- 116868898
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 137 KB
- Volume
- 14
- Category
- Article
- ISSN
- 1058-3300
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Following recent nonβlinear extensions of the presentβvalue model, this paper examines the outβofβsample forecast performance of two parametric and two nonβparametric nonlinear models of stock returns. The parametric models include the standard regime switching and the Markov regime swi
This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show
## Abstract A lot of recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial implications of such a finding for market efficiency and for martingale models of asset prices used in financial economics and technical trading rules used