Can we evaluate the predictability of financial markets?
AbstractIn the summer of 2007, the International Institute of Forecasters (IIF) asked us to organize a workshop on ‘‘Predictability of Financial Markets’’, which took place on the 16th and 17th of January, 2009, in the beautiful, historical building of the Institute of Economics and Management (ISEG) in Lisbon. Nine outstanding invited speakers presented papers in the area of time series analysis of financial data, which were then discussed by nine other experts. This special issue provides peerreviewed, corrected and updated versions of seven of these papers, with additional comments by the discussants. Sadly, the paper by the Nobel Laureate Sir Clive Granger could not be finished, as he passed away in May 2009. We will always have the memories of his talk, which has been commented on here by Antonio García-Ferrer. In addition, the paper by Stephen Taylor entitled ‘‘A multi-horizon comparison on density forecasts for the S&P 500 index returns and option prices’’ was unfortunately not made available for this special issue.
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Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/15741.
Length: 4 p.
Date of creation: 2012
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Publication status: Published in International Journal of Forecasting (2012) v.v. 28, p.1-2
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-03 (All new papers)
- NEP-FMK-2012-11-03 (Financial Markets)
- NEP-FOR-2012-11-03 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
- Clements, Michael P. & Milas, Costas & van Dijk, Dick, 2009. "Forecasting returns and risk in financial markets using linear and nonlinear models," International Journal of Forecasting, Elsevier, vol. 25(2), pages 215-217.
- Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003.
"Forecasting economic and financial time-series with non-linear models,"
Departmental Working Papers
200309, Rutgers University, Department of Economics.
- Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
- De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
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