𝔖 Bobbio Scriptorium
✦   LIBER   ✦

NON-LINEAR PREDICTABILITY IN G7 STOCK INDEX RETURNS

✍ Scribed by KIAN-PING LIM; CHEE-WOOI HOOY


Book ID
115226859
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
856 KB
Volume
81
Category
Article
ISSN
1463-6786

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