Testing for linear and nonlinear predictability of stock returns
Year of publication: |
2013
|
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Authors: | Lanne, Markus ; Meitz, Mika ; Saikkonen, Pentti |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 11.2013, 4, p. 682-705
|
Subject: | all-pass process | noninvertible ARMA process | nonlinear predictability | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Nichtlineare Regression | Nonlinear regression | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis |
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