Non-linear forecasts of stock returns
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Angelos Kanas
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Article
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2003
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John Wiley and Sons
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English
β 150 KB
π 1 views
## 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