Predictability of the daily high and low of the S&P 500 index
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More about this item
Keywords
predictability of stock prices; time varying parameters; proximity variable method for predicting stock prices; accuracy of proximity variable method compared with autoregressive and benchmark forecasts;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2015-03-13 (Forecasting)
- NEP-RMG-2015-03-13 (Risk Management)
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