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Forecasting stock market prices: Lessons for forecasters

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  • Granger, Clive W. J.

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 8 (1992)
Issue (Month): 1 (June)
Pages: 3-13

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Handle: RePEc:eee:intfor:v:8:y:1992:i:1:p:3-13

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Web page: http://www.elsevier.com/locate/ijforecast

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Cited by:
  1. Kamal, Mona, 2014. "Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution," MPRA Paper 54708, University Library of Munich, Germany.
  2. Wojciech Charemza & Kalvinder Shields & Anna Zalewska, 2004. "Predictability of stock markets with disequilibrium trading," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 329-344.
  3. Bayraci, Selcuk, 2010. "Econometric testing of the CAPM: A granger causality analysis on the Turkish banking industry," MPRA Paper 30839, University Library of Munich, Germany, revised 10 May 2011.
  4. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 0(1), pages 1-15.
  5. Jeffrey E. Jarrett, 2008. "Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.
  6. Pesaran, M. Hashem, 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," IZA Discussion Papers 5037, Institute for the Study of Labor (IZA).
  7. Li, GuangJie, 2009. "The Horizon Effect of Stock Return Predictability and Model Uncertainty on Portfolio Choice: UK Evidence," Cardiff Economics Working Papers E2009/4, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2009.
  8. Kwan, Andy C.C. & Sim, Ah-Boon & Wu, Yangru, 2005. "A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 391-413, February.
  9. Perez-Rodriguez, Jorge V. & Torra, Salvador & Andrada-Felix, Julian, 2005. "STAR and ANN models: forecasting performance on the Spanish "Ibex-35" stock index," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 490-509, June.
  10. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge.
  11. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
  12. Bozos, Konstantinos & Nikolopoulos, Konstantinos, 2011. "Forecasting the value effect of seasoned equity offering announcements," European Journal of Operational Research, Elsevier, vol. 214(2), pages 418-427, October.
  13. Beltrametti, Luca & Fiorentini, Riccardo & Marengo, Luigi & Tamborini, Roberto, 1997. "A learning-to-forecast experiment on the foreign exchange market with a classifier system," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1543-1575, June.
  14. Andy Kwan & Ah-Boon Sim & Yangru Wu, 2005. "On the size and power of normalized autocorrelation coefficients," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 1-11.
  15. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society.
  16. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre.
  17. repec:wyi:journl:002062 is not listed on IDEAS
  18. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  19. Pesaran, Mohammad Hashem, 2005. "Market efficiency today," CFS Working Paper Series 2006/01, Center for Financial Studies (CFS).
  20. Samantha Kleinberg & Petter N. Kolm & Bud Mishra, 2010. "Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods," Papers 1006.1791, arXiv.org.

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