Modeling Financial Return Dynamics via Decomposition
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 28 (2010)
Issue (Month): 2 ()
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- Thomas Bury, 2013. "Predicting trend reversals using market instantaneous state," Papers 1310.8169, arXiv.org, revised Mar 2014.
- Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 2012. "Predicting and Capitalizing on Stock Market Bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
- Liu, Xiaochun, 2011. "Modeling the time-varying skewness via decomposition for out-of-sample forecast," MPRA Paper 41248, University Library of Munich, Germany.
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
- Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578, April.
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