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Forecasting the US CPI: Does Nonlinearity Matter?

Álvarez-Díaz, Marcos; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

The objective of this paper is to predict, both in-sample and out-of-sample, the consumer price index (CPI) of the United States (US) economy based on monthly data covering the period of 1980:1-2013:12, using a variety of linear (random walk (RW), autoregressive (AR) and seasonally-adjusted...

Persistent link: https://www.econbiz.de/10011196639

Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions

Álvarez-Díaz, Marcos; Hammoudeh, Shawkat; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

This study performs the challenging task of examining the forecastability behavior of the stock market returns for the Dow Jones Industrial Average (DJIA) and the Dow Jones Islamic (DJIM) market indices, using non-parametric regressions. These indices represent different markets in terms of...

Persistent link: https://www.econbiz.de/10010743481

Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions

Álvarez-Díaz, Marcos; Hammoudeh, Shawkat; Gupta, Rangan - In: The North American Journal of Economics and Finance 29 (2014) C, pp. 22-35

This study performs the challenging task of examining the forecastability behavior of the stock market returns for the Dow Jones Islamic Market (DJIM) and the Dow Jones Industrial Average (DJIA) indices, using non-parametric regressions. These indices represent different markets in terms of...

Persistent link: https://www.econbiz.de/10011056675