𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Recursive Modeling of Nonlinear Dynamics in UK Stock Returns

✍ Scribed by Massimo Guidolin; Allan Timmermann


Book ID
108550308
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
220 KB
Volume
71
Category
Article
ISSN
1463-6786

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


An econometric model of nonlinear dynami
✍ Massimo Guidolin; Professor Allan Timmermann πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 260 KB πŸ‘ 1 views

## Abstract This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two‐ or three‐state models capture the univariate dynamics in bond and stock returns, a more complicated four‐state mod

Forecasting Performance of Nonlinear Mod
✍ JosΓ© M. MatΓ­as; Juan C. Reboredo πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 401 KB πŸ‘ 1 views

## ABSTRACT We studied the predictability of intraday stock market returns using both linear and nonlinear time series models. For the S&P 500 index we compared simple autoregressive and random walk linear models with a range of nonlinear models, including smooth transition, Markov switching, artif