An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application
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- Theodore Panagiotidis, 2010. "An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application," Working Paper series 20_10, Rimini Centre for Economic Analysis.
- Theodore Panagiotidis, 2010. "An out-of-sample test for nonlinearity in financial time series: An empirical application," Discussion Paper Series 2010_08, Department of Economics, University of Macedonia, revised Jun 2010.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper 49921, University Library of Munich, Germany.
More about this item
KeywordsNearest neighbour; Nonlinearity; C22; C53; G10;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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