Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models
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Citations
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Cited by:
- Daiki Maki & Yasushi Ota, 2019. "Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches," Papers 1907.12752, arXiv.org, revised Sep 2019.
- Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
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- Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
- David E. Rapach & Mark E. Wohar, 2005.
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- Mark E. Wohar & David E. Rapach, 2005. "Valuation ratios and long-horizon stock price predictability," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 327-344.
- Songtao Wu & Jianmin He & Chao Wang, 2017. "Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity," Discrete Dynamics in Nature and Society, Hindawi, vol. 2017, pages 1-15, September.
- Sun, Yuying & Han, Ai & Hong, Yongmiao & Wang, Shouyang, 2018. "Threshold autoregressive models for interval-valued time series data," Journal of Econometrics, Elsevier, vol. 206(2), pages 414-446.
- Gupta, Rangan & Modise, Mampho P., 2013.
"Macroeconomic Variables and South African Stock Return Predictability,"
Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
- Rangan Gupta & Mampho P. Modise, 2011. "Macroeconomic Variables and South African Stock Return Predictability," Working Papers 201107, University of Pretoria, Department of Economics.
- Rilwan Sakariyahu & Mohamed Sherif & Audrey Paterson & Eleni Chatzivgeri, 2021. "Sentiment‐Apt investors and UK sector returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3321-3351, July.
- Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
- Seyyed Ali Paytakhti Oskooe, 2012. "Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 179-183.
- Liam Gallagher & Mark Hutchinson & John O’Brien, 2018. "Does Convertible Arbitrage Risk Exposure Vary Through Time?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-25, December.
- Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, October.
- Babangida, Jamilu Said, 2023. "Nonlinearity in emerging market indices: A comprehensive study of stock exchange market dynamics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 72, pages 23-37.
- Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers 0201, University of Crete, Department of Economics.
- Angela J. Black & David G. McMillan, 2004.
"Non‐linear Predictability of Value and Growth Stocks and Economic Activity,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 31(3‐4), pages 439-474, April.
- Angela J. Black & David G. McMillan, 2004. "Non-linear Predictability of Value and Growth Stocks and Economic Activity," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3-4), pages 439-474.
- Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
- Hosseini, Seyed Soheil & Wormald, Nick & Tian, Tianhai, 2021. "A Weight-based Information Filtration Algorithm for Stock-correlation Networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
- David G. McMillan, 2003. "Non‐linear Predictability of UK Stock Market Returns," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 557-573, December.
- Nektarios Aslanidis, 2002. "Regime-switching behaviour in European," Working Papers 0202, University of Crete, Department of Economics.
- Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008. "Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets," Global Finance Journal, Elsevier, vol. 19(1), pages 19-31.
- Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008.
"Co-movements between US and UK stock prices: the roles of macroeconomic information and time-varying conditional correlations,"
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- Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," Economics Discussion Paper Series 0805, Economics, The University of Manchester.
- Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," JRFM, MDPI, vol. 8(2), pages 1-19, June.
- Yener Coskun & Nicholas Apergis & Esra Alp Coskun, 2022. "Nonlinear responses of consumption to wealth, income, and interest rate shocks," Empirical Economics, Springer, vol. 63(3), pages 1293-1335, September.
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