Filtering and Prediction in Noncausal Processes
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- Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.
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KeywordsNoncausal Process; Nonlinear Prediction; Filtering; Look-Ahead Estimator; Speculative Bubble; Technical Analysis;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2014-08-09 (Econometrics)
- NEP-ETS-2014-08-09 (Econometric Time Series)
- NEP-FOR-2014-08-09 (Forecasting)
- NEP-ORE-2014-08-09 (Operations Research)
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