Forecasting Stock Returns: Does Switching Between Models Help?

DOI10.1007/978-1-4614-8060-0_11zbMath1418.91633OpenAlexW1882396865MaRDI QIDQ4561864

David G. McMillan

Publication date: 13 December 2018

Published in: Recent Advances in Estimating Nonlinear Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8060-0_11

zbMATH Keywords

forecastingstarstock market returnsswitching models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

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• Threshold models in non-linear time series analysis
• Entropy and predictability of stock market returns.
• Measures of Deterministic Prediction Bias in Nonlinear Models
• Forecasting Economic Time Series
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

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