CHONG, TERENCE TAI-LEUNG; LAM, TAU-HING - In: The Singapore Economic Review (SER) 58 (2013) 03, pp. 1350019-1
Chong and Lam and Chong et al. show that SETAR(200) and MA(50) outperform other rules in both the U.S. and the Chinese stock market. This paper investigates the synergy of combining SETAR(200) and MA(50) rules in ten U.S. and Chinese stock market indexes. It is found that the SETAR rule performs...