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Non-linear forecasting of stock returns: Does volume help?

✍ Scribed by David G. McMillan


Book ID
113647889
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
169 KB
Volume
23
Category
Article
ISSN
0169-2070

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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