The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

This study examines the price discovery role of VIX futures in determining the levels of various spot VIX series. We analyze both the short-term linkage using the bivariate Granger causality model as well as the long-term linkage using the Johansen cointegration model with a vector error...

One of the most difficult problems analysts and decision-makers may face is how to improve the forecasting and predicting of financial time series. However, several efforts were made to develop more accurate and reliable forecasting methods. The main purpose of this study is to use technical...