## 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
State dependent models of stock returns
β Scribed by Phillip A. Braun
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 682 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0898-1221
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