𝔖 Bobbio Scriptorium
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On non-linear serial dependencies in stock returns

✍ Scribed by Terry A. Marsh


Book ID
107949926
Publisher
Elsevier Science
Year
1985
Tongue
English
Weight
613 KB
Volume
30
Category
Article
ISSN
0304-4076

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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