Non-Linear Predictability of Stock Market Returns: Evidence from Non-Parametric and Threshold Models
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Bibliographic InfoPaper provided by Department of Economics, University of St. Andrews in its series Discussion Paper Series, Department of Economics with number 200102.
Date of creation: 15 Dec 2001
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- Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009.
"Non-linear predictability in stock and bond returns: when and where is it exploitable?,"
2008-010, Federal Reserve Bank of St. Louis.
- Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399.
- David McMillan & Alan Speight, 2006. "Non-linear long horizon returns predictability: evidence from six south-east Asian markets," Asia-Pacific Financial Markets, Springer, vol. 13(2), pages 95-111, June.
- Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers 2012-02, University of Graz, Department of Economics.
- Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
- Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
- David McMillan, 2004. "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003 63, Money Macro and Finance Research Group.
- Aslanidis, Nektarios & Osborn, Denise R. & Sensier, Marianne, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations," Working Papers 2072/8950, Universitat Rovira i Virgili, Department of Economics.
- David G. McMillan, 2009. "Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 139-155.
- McMillan, David G., 2005. "Non-linear dynamics in international stock market returns," Review of Financial Economics, Elsevier, vol. 14(1), pages 81-91.
- McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 115-126.
- Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers 0201, University of Crete, Department of Economics.
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