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Predicting EU Energy Industry Excess Returns on EU Market Index via a Constrained Genetic Algorithm

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Massimiliano Kaucic ()
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File URL: http://hdl.handle.net/10.1007/s10614-009-9176-4
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Article provided by Springer in its journal Computational Economics.

Volume (Year): 34 (2009)
Issue (Month): 2 (September)
Pages: 173-193
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Handle: RePEc:kap:compec:v:34:y:2009:i:2:p:173-193

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: Genetic algorithm; Penalty function method; Model selection; Excess return; Information criteria; C32; C52; C53; C61; C63;

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  1. M. Hashem Pesaran & Allan Timmermann, 1995. "Predictability of Stock Returns: Robustness and Economic Significance," University of California at San Diego, Economics Working Paper Series 95-19, Department of Economics, UC San Diego.
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  2. Hoeting, Jennifer & Raftery, Adrian E. & Madigan, David, 1996. "A method for simultaneous variable selection and outlier identification in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 22(3), pages 251-270, July. [Downloadable!] (restricted)
  3. K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(4), pages 1223-1249.
  4. David E. Rapach & Jack K. Strauss, 2008. "Forecasting US employment growth using forecast combining methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 75-93. [Downloadable!]
  5. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-59, April.
  6. Ahumada, Hildegart A, 1985. "An Encompassing Test of Two Models of the Balance of Trade for Argentina," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 47(1), pages 51-70, February.
  7. Bossaerts, Peter & Hillion, Pierre, 1999. "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(2), pages 405-28.
  8. M. A. Kaboudan, 2000. "Genetic Programming Prediction of Stock Prices," Computational Economics, Springer, vol. 16(3), pages 207-236, December. [Downloadable!]
  9. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  10. Kelvin Balcombe, 2005. "Model Selection Using Information Criteria and Genetic Algorithms," Computational Economics, Springer, vol. 25(3), pages 207-228, June. [Downloadable!] (restricted)
  11. Pesaran, M Hashem & Timmermann, Allan, 2000. "A Recursive Modelling Approach to Predicting UK Stock Returns," Economic Journal, Royal Economic Society, vol. 110(460), pages 159-91, January. [Downloadable!] (restricted)
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This page was last updated on 2009-12-8.

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