Non‐linear forecasts of stock returns
- 15 July 2003
- journal article
- research article
- Published by Wiley in Journal of Forecasting
- Vol. 22 (4) , 299-315
- https://doi.org/10.1002/for.858
Abstract
No abstract availableKeywords
This publication has 27 references indexed in Scilit:
- Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching ModelsInternational Economic Review, 1998
- A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural NetworksJournal of Business & Economic Statistics, 1995
- Comparing Predictive AccuracyJournal of Business & Economic Statistics, 1995
- Trading Volume and Serial Correlation in Stock ReturnsThe Quarterly Journal of Economics, 1993
- Multivariate nearest-neighbour forecasts of ems exchange ratesJournal of Applied Econometrics, 1992
- Testing the null hypothesis of stationarity against the alternative of a unit rootJournal of Econometrics, 1992
- Noise Trader Risk in Financial MarketsJournal of Political Economy, 1990
- Nonparametric exchange rate prediction?Journal of International Economics, 1990
- On the Inception of Rational BubblesThe Quarterly Journal of Economics, 1987
- Does the Stock Market Rationally Reflect Fundamental Values?The Journal of Finance, 1986