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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2017

Persistent link: https://www.econbiz.de/10011782226

A simple nonlinear predictive model for stock returns

Cai, Biqing; Gao, Jiti - 2017

Persistent link: https://www.econbiz.de/10011782256

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

historical mean model in terms of in-sample fitting, and also for some cases in terms of the out-of-sample forecasting. …

Persistent link: https://www.econbiz.de/10011775136

Forecasting a nonstationary time series with a mixture of stationary and nonstationary factors as predictors

Hannadige, Sium Bodha; Gao, Jiti; Silvapulle, Mervyn J.; … - 2020

Persistent link: https://www.econbiz.de/10012607687

Time series forecasting using a mixture of stationary and nonstationary predictors

Hannadige, Sium Bodha; Gao, Jiti; Silvapulle, Mervyn J.; … - 2021

Persistent link: https://www.econbiz.de/10012614548

Nonparametric predictive regressions for stock return brediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019

Persistent link: https://www.econbiz.de/10012698837

Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors

Hannadige, Sium - 2020

This paper develops a method for forecasting a nonstationary time series, such as GDP, using a set of high … potential predictors. The validity of this method for forecasting has been established when all the variables are stationary and … evaluated the aforementioned methods for forecasting the nonstationary variables, GDP and Industrial Production [IP], using the …

Persistent link: https://www.econbiz.de/10012834890

Forecasting a nonstationary time series using a mixture of stationary and nonstationary factors as predictors

Hannadige, Sium Bodha; Gao, Jiti; Silvapulle, Mervyn J.; … - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 122-134

Persistent link: https://www.econbiz.de/10014449839

Nonparametric predictive regressions for stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019

Persistent link: https://www.econbiz.de/10012592220

Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Predictors

Hannadige, Sium; Gao, Jiti; Silvapulle, Mervyn Joseph; … - 2021

-FAR. Using the data in FRED-QD for the US, we evaluated the aforementioned methods for forecasting the nonstationary variables …

Persistent link: https://www.econbiz.de/10013232353

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