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Do the FAMA and FRENCH five-factor model forecast well using ANN?

Jan, Muhammad Naveed; Ayub, Usman - In: Journal of business economics and management 20 (2019) 1, pp. 168-191

Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These … markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with … which caters both the linear and nonlinear markets. This paper investigates the forecasting ability of ANN by using Fama and …

Persistent link: https://www.econbiz.de/10012175006

Do industry returns predict the stock market? : A reprise using the random forest

Ciner, Cetin - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 152-158

Persistent link: https://www.econbiz.de/10012176169

Technical analysis based on high and low stock prices forecasts : evidence for Brazil using a fractionally cointegrated VAR model

Maciel, Leandro - In: Empirical economics : a journal of the Institute for … 58 (2020) 4, pp. 1513-1540

Persistent link: https://www.econbiz.de/10012219651

Pricing individual stock options using both stock and market index information

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of banking & finance 111 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012221075

Implied volatility surface predictability : the case of commodity markets

Kearney, Fearghal; Shang, Han Lin; Sheenan, Lisa - In: Journal of banking & finance 108 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012224756

Modeling and forecasting the volatility of returns in the infrastructure sector in emerging markets

Magweva, Rabson; Sibanda, Mabutho - In: Eurasian journal of business and economics : EJBE 13 (2020) 25, pp. 37-52

Persistent link: https://www.econbiz.de/10012225640

Stock market volatility modeling and forecasting with a special reference to BSE sensex

Malepati, Venkataramanaiah; Challa, Madhavi Latha; … - In: Research in finance 35 (2019), pp. 105-118

Persistent link: https://www.econbiz.de/10012228119

Seeing through the spin : the effect of news sentiment on firms' stock market performance

Daetz, Stine Louise; Hvid, Anna Kirstine; Martinello, … - 2019

The sentiment of news predicts the short-term stock market performance of individual companies. We find that this association is solely due to the idiosyncratic informational content of an article. We transparently quantify the association between news sentiment and stock market performance of...

Persistent link: https://www.econbiz.de/10012111252

Modeling the dependence of conditional correlations on market volatility

Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268

Persistent link: https://www.econbiz.de/10011691329

On the economic determinants of optimal stock-bond portfolios : international evidence

Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

Persistent link: https://www.econbiz.de/10011745369