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Author : David G. McMillan
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (467 download)
Download or read book Non-linear Predictability of Stock Market Returns written by David G. McMillan and published by . This book was released on 2001 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : B. L. S. Prakasa Rao
Publisher : Academic Press
ISBN 13 : 148326923X
Total Pages : 539 pages
Book Rating : 4.4/5 (832 download)
Download or read book Nonparametric Functional Estimation written by B. L. S. Prakasa Rao and published by Academic Press. This book was released on 2014-07-10 with total page 539 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonparametric Functional Estimation is a compendium of papers, written by experts, in the area of nonparametric functional estimation. This book attempts to be exhaustive in nature and is written both for specialists in the area as well as for students of statistics taking courses at the postgraduate level. The main emphasis throughout the book is on the discussion of several methods of estimation and on the study of their large sample properties. Chapters are devoted to topics on estimation of density and related functions, the application of density estimation to classification problems, and the different facets of estimation of distribution functions. Statisticians and students of statistics and engineering will find the text very useful.
Author : Biqing Cai
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Simple Nonlinear Predictive Model for Stock Returns written by Biqing Cai and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose a simple approach to testing and modelling nonlinear predictability of stock returns using Hermite Functions. The proposed test suggests that there exists a kind of nonlinear predictability for the dividend yield. Furthermore, the out-of-sample evaluation results suggest the dividend yield has nonlinear predictive power for stock returns while the book-to-market ratio and earning-price ratio have little predictive power.
Author : Zhong-guo Zhou
Publisher :
ISBN 13 :
Total Pages : 252 pages
Book Rating : 4.3/5 (121 download)
Download or read book The Predictability of Stock Returns written by Zhong-guo Zhou and published by . This book was released on 1993 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Timo Teräsvirta
Publisher : OUP Oxford
ISBN 13 : 9780199587148
Total Pages : 592 pages
Book Rating : 4.5/5 (871 download)
Download or read book Modelling Nonlinear Economic Time Series written by Timo Teräsvirta and published by OUP Oxford. This book was released on 2010-12-16 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For thispurpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried outusing numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones.Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter isdevoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.
Author : Philip Hans Franses
Publisher : Cambridge University Press
ISBN 13 : 0521770416
Total Pages : 299 pages
Book Rating : 4.5/5 (217 download)
Download or read book Non-Linear Time Series Models in Empirical Finance written by Philip Hans Franses and published by Cambridge University Press. This book was released on 2000-07-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2000 volume reviews non-linear time series models, and their applications to financial markets.
Author : Chi-Hsiou Daniel Hung
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book Return Explanatory Ability and Predictability of Non-Linear Market Models written by Chi-Hsiou Daniel Hung and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent literature supports the pricing of higher-order systematic co-moments of returns. This paper provides some support for the quadratic-market model that is consistent with the three-moment CAPM in explaining time-series returns of the winner and the smallest size portfolios. This study further uses three innovative methodologies in analysing the ability of the linear CAPM, the quadratic- and the cubic-market models in predicting one-period ahead returns on individual stocks, equally- and value-weighted portfolios of momentum, size and country sorts. The results are surprising but important that the higher-moment CAPM market models do not outperform the linear CAPM in the return predictability tests.
Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author : Jun Ma
Publisher : Springer Science & Business Media
ISBN 13 : 1461480604
Total Pages : 308 pages
Book Rating : 4.4/5 (614 download)
Download or read book Recent Advances in Estimating Nonlinear Models written by Jun Ma and published by Springer Science & Business Media. This book was released on 2013-09-24 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.
Author : Huntley Schaller
Publisher :
ISBN 13 : 9780662253167
Total Pages : 45 pages
Book Rating : 4.2/5 (531 download)
Download or read book Fads Or Bubbles? written by Huntley Schaller and published by . This book was released on 1997-01-01 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jin-Chuan Duan
Publisher : Springer Science & Business Media
ISBN 13 : 3642172547
Total Pages : 791 pages
Book Rating : 4.6/5 (421 download)
Download or read book Handbook of Computational Finance written by Jin-Chuan Duan and published by Springer Science & Business Media. This book was released on 2011-10-25 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author : Andrew Urquhart
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Adaptive Market Hypothesis and Stock Return Predictability written by Andrew Urquhart and published by . This book was released on 2015 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also whiten the returns through an AR-GARCH process to study the nonlinear predictability after accounting for conditional heteroscedasticity through the BDS test. We evaluate the time-varying return predictability by applying these tests to fixed length moving subsample windows. We also examine whether there is a relationship between the level of predictability in stock returns and market conditions. The results show that there are periods of significant return predictability, but also episodes of no significant predictability in stock returns. We also find that certain market conditions are significantly related to predictability in certain markets but each market interacts differently with the different market conditions. Therefore our findings suggest that significant return predictability in stock markets does vary over time in a manner consistent with the adaptive market hypothesis and that each market adapts differently to certain market conditions.
Author : Roy Henriksson
Publisher :
ISBN 13 : 9781021216878
Total Pages : 0 pages
Book Rating : 4.2/5 (168 download)
Download or read book On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills written by Roy Henriksson and published by . This book was released on 2023-07-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael P. Clements
Publisher : John Wiley & Sons
ISBN 13 : 140517191X
Total Pages : 616 pages
Book Rating : 4.4/5 (51 download)
Download or read book A Companion to Economic Forecasting written by Michael P. Clements and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.
Author : Olan Henry
Publisher :
ISBN 13 : 9780734025234
Total Pages : 25 pages
Book Rating : 4.0/5 (252 download)
Download or read book Do Stock Market Returns Predict Changes to Output? written by Olan Henry and published by . This book was released on 2003 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wolfgang Drobetz
Publisher : Springer Science & Business Media
ISBN 13 : 3663085295
Total Pages : 346 pages
Book Rating : 4.6/5 (63 download)
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
