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Nonlinear Time Series in Financial Forecasting

Listed author(s):
  • Gloria González-Rivera

    ()

    (Department of Economics, University of California Riverside)

  • Tae-Hwy Lee

    ()

    (Department of Economics, University of California Riverside)

No abstract is available for this item.

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File URL: http://econ.ucr.edu/papers/papers08/08-03.pdf
File Function: Second version, 2008
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Paper provided by University of California at Riverside, Department of Economics in its series Working Papers with number 200803.

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Length: 68 pages
Date of creation: Sep 2007
Date of revision: Feb 2008
Handle: RePEc:ucr:wpaper:200803
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  7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
  8. Gloria González-Rivera & Tae-Hwy Lee & Santosh Mishra, 2008. "Jumps in cross-sectional rank and expected returns: a mixture model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 585-606.
  9. Tae-Hwy Lee & Yong Bao & Burak Saltoğlu, 2007. "Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003;," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 203-225.
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  39. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
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