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The use of data mining and neural networks for forecasting stock market returns

✍ Scribed by David Enke; Suraphan Thawornwong


Book ID
108127696
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
236 KB
Volume
29
Category
Article
ISSN
0957-4174

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## Abstract This paper provides an analysis of regime switching in volatility and out‐of‐sample forecasting of the Cyprus Stock Exchange by using daily data for the period 1996–2002. We first model volatility regime switching within a univariate Markov switching framework. Modelling stock returns w