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

  • 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 Society for Computational Economics 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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    1. Pesaran, M Hashem & Timmermann, Allan, 1995. " Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-28, September.
    2. Pesaran, M. H. & Timmermann, A., 1996. "A Recursive Modelling Approach to Predicting UK Stock Returns'," Cambridge Working Papers in Economics 9625, Faculty of Economics, University of Cambridge.
    3. M. A. Kaboudan, 2000. "Genetic Programming Prediction of Stock Prices," Computational Economics, Society for Computational Economics, vol. 16(3), pages 207-236, December.
    4. 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.).
    5. 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.
    6. Costantini, Mauro & Pappalardo, Carmine, 2008. "Combination of Forecast Methods Using Encompassing Tests. An Algorithm-Based Procedure ; For the revised version of this paper, see Working Paper 240, Economics Series, June 2009, which includes some ," Economics Series 228, Institute for Advanced Studies.
    7. Kelvin Balcombe, 2005. "Model Selection Using Information Criteria and Genetic Algorithms," Computational Economics, Society for Computational Economics, vol. 25(3), pages 207-228, June.
    8. 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.
    9. Daniel Grenouilleau, 2006. "The Stacked Leading Indicators Dynamic Factor Model: A Sensitivity Analysis of Forecast Accuracy using Bootstrapping," European Economy - Economic Papers 249, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    10. 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.
    11. Bossaerts, Peter & Hillion, Pierre, 1999. "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?," Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 405-28.
    12. 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.
    13. K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
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