𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Non-linear dynamics in international stock market returns

✍ 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.


πŸ“œ SIMILAR VOLUMES


Non-linear forecasts of stock returns
✍ Angelos Kanas πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 150 KB πŸ‘ 1 views

## Abstract Following recent non‐linear extensions of the present‐value model, this paper examines the out‐of‐sample forecast performance of two parametric and two non‐parametric nonlinear models of stock returns. The parametric models include the standard regime switching and the Markov regime swi

Intraday dynamics of stock market return
✍ Faruk SelΓ§uk; Ramazan GenΓ§ay πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 497 KB

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

Long-term memory in stock market returns
✍ Shibley Sadique; Param Silvapulle πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 87 KB πŸ‘ 2 views

## 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